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How is futures volume reported (split/combined/?)

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Paris, France
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Ok, I was able to find what I was looking for, the name of this change. It's called MDP 3.0. The feed contains all the information (9 contract aggressor with two fills at 5 & 4 contracts), so it can be interpreted either way. Effectively CME reports the 9 lot trade but gives enough information that the datafeed can break it up if they choose. From what I read, CQG and other feeds are breaking it up. But that was in 2015 and I don't know what they're doing now. From what I see it looks like it's still being unbundled.


CME Changes Tick Data, Again! (MDP 3.0) |

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