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MDP 3.0, is CME migrating to a new data comm protocol?
Started:May 5th, 2015 (12:51 PM) by Malthus Views / Replies:20,312 / 85
Last Reply:September 30th, 2015 (11:26 PM) Attachments:4

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MDP 3.0, is CME migrating to a new data comm protocol?

Old May 6th, 2015, 12:21 PM   #31 (permalink)
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LukeGeniol View Post
At this point that the data will not more based on tick but on time, and this is the microsecond, I'm curious to see how many trades will be made on the same microsecond....

Not very many, for sure. Guessing it would be an extremely tiny percentage.

My understanding is this: The only issue here is bundling a trade. When I submit a market order for a 50 lot on ES, I get filled with lots of 1's and 2's and some 5's usually. Prior to MDP 3.0, each fill would count as a trade. Now my one order for 50 gets counted as one trade, regardless of the incremental fills, within an allowable limit of time.

I've not seen specific documentation on the elapsed time that is allowable.

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Old May 6th, 2015, 12:33 PM   #32 (permalink)
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FYI

It appears Ninjatrader backfill data is using the new data while real time Rithmic data is still the old format data. Makes for confusing and less than useful tick charts.

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Old May 6th, 2015, 12:34 PM   #33 (permalink)
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Tick Trading


Tick trading has grown in popularity. I know this one guy used a bunch of them, even a 70 tick chart on the CL. I tried it. Wow was that ever a data stream. It showed some nice basing action for entry. Boy, did it clog up my ninja data base though, besides making me a little dizzy. Even midday I would have to clean the NT database tick files and cache. Lucky enuff for me someone showed me how to clean that stuff up. Ninja might encourage CME to lighten the load on their platform, with a wink wink?
My CL 2400 tick chart is not as affected as the 2000 tick ES. This is one of those days I'm glad to have time based charts, volume ladder and volume charts,also. "you only need one chart to succeed in trading". Another axiom bites the dust.

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Old May 6th, 2015, 12:54 PM   #34 (permalink)
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This will affect also the backtesting and also the indicators based on tick......Now they will have to be rethought.

Take your Pips, go out and Live.
Luke.

Last edited by LukeGeniol; May 6th, 2015 at 05:16 PM. Reason: removed renko bar type cose was not corrected.....see some posts below
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Old May 6th, 2015, 01:08 PM   #35 (permalink)
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LukeGeniol View Post
At this point that the data will not more based on tick but on time, and this is the microsecond, I'm curious to see how many trades will be made on the same microsecond....

I did a test on millisecond data on ES from Friday.

 
Code
MariaDB [ticks]> select count(`TickID`) as `Ticks`,count(distinct `Date`) as `Unique` from `@ES#` where `Date` between '2015-05-01 00:00:00' and '2015-05-01 23:59:59';
+--------+--------+
| Ticks  | Unique |
+--------+--------+
| 305305 |  77722 |
+--------+--------+
1 row in set (0.00 sec)
Here is a snippet. You can make assumptions on how these would be grouped together under the new protocol. Keeping in mind my data is millisecond resolution, not microsecond.

 
Code
MariaDB [ticks]> select * from `@ES#` where `Date` between '2015-05-01 00:00:00' and '2015-05-01 23:59:59' order by 1 limit 20;
+-------------------------+------------+----------+------------+------------+----------+--------------+-------------------+-----------------+
| Date                    | Last       | LastSize | Bid        | Ask        | TickID   | BasisForLast | TradeMarketCenter | TradeConditions |
+-------------------------+------------+----------+------------+------------+----------+--------------+-------------------+-----------------+
| 2015-05-01 00:00:04.883 | 2083.25000 |        2 | 2083.00000 | 2083.25000 | 17885107 | C            |                43 | 01              |
| 2015-05-01 00:00:04.883 | 2083.25000 |        3 | 2083.00000 | 2083.25000 | 17885108 | C            |                43 | 01              |
| 2015-05-01 00:00:04.883 | 2083.25000 |        1 | 2083.00000 | 2083.25000 | 17885109 | C            |                43 | 01              |
| 2015-05-01 00:00:04.883 | 2083.25000 |        1 | 2083.00000 | 2083.25000 | 17885110 | C            |                43 | 01              |
| 2015-05-01 00:00:04.883 | 2083.25000 |        1 | 2083.00000 | 2083.25000 | 17885114 | C            |                43 | 01              |
| 2015-05-01 00:00:04.883 | 2083.25000 |        1 | 2083.00000 | 2083.25000 | 17885115 | C            |                43 | 01              |
| 2015-05-01 00:00:04.883 | 2083.25000 |        1 | 2083.00000 | 2083.25000 | 17885116 | C            |                43 | 01              |
| 2015-05-01 00:00:04.902 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885148 | C            |                43 | 01              |
| 2015-05-01 00:00:08.077 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885160 | C            |                43 | 01              |
| 2015-05-01 00:00:08.077 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885162 | C            |                43 | 01              |
| 2015-05-01 00:00:08.077 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885163 | C            |                43 | 01              |
| 2015-05-01 00:00:08.077 | 2083.25000 |        2 | 2083.25000 | 2083.50000 | 17885165 | C            |                43 | 01              |
| 2015-05-01 00:00:08.077 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885166 | C            |                43 | 01              |
| 2015-05-01 00:00:08.077 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885167 | C            |                43 | 01              |
| 2015-05-01 00:00:25.641 | 2083.50000 |        3 | 2083.25000 | 2083.50000 | 17885216 | C            |                43 | 01              |
| 2015-05-01 00:00:25.641 | 2083.50000 |        1 | 2083.25000 | 2083.50000 | 17885217 | C            |                43 | 01              |
| 2015-05-01 00:01:03.551 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885252 | C            |                43 | 01              |
| 2015-05-01 00:01:35.204 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885273 | C            |                43 | 01              |
| 2015-05-01 00:01:35.240 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885289 | C            |                43 | 01              |
| 2015-05-01 00:01:40.100 | 2083.25000 |        1 | 2083.25000 | 2083.50000 | 17885291 | C            |                43 | 01              |
+-------------------------+------------+----------+------------+------------+----------+--------------+-------------------+-----------------+
20 rows in set (0.00 sec)
Mike

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Old May 6th, 2015, 01:17 PM   #36 (permalink)
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i did 120 day analysis and came up with an avg of 5500 volume equivalent to 2000t on ES. i know a lot of tick chart folks use 2k. You can see in the pic, its not much different, and in many cases has cleaner price action signals. dont want to get into a tick chart discussion in this thread, just wanted to show that the alternatives are pretty clean.

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Old May 6th, 2015, 01:31 PM   #37 (permalink)
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I don't understand why someone would prefer a tick chart over a volume chart. And the volume chart is not changed in this scenario.

Year to date - Day of week ticks vs volume (and average trade size per 'tick'). This is why I think everyone should just be using a volume chart.

 
Code
MariaDB [ticks]> select dayname(`Date`) as `Day`,count(`TickID`) as `Ticks`,sum(`LastSize`) as `Volume`, avg(`LastSize`) as `Avg Size` from `@ES#` where `Date` > '2015-01-01' group by dayname(`Date`) order by dayofweek(`Date`);
+-----------+---------+----------+----------+
| Day       | Ticks   | Volume   | Avg Size |
+-----------+---------+----------+----------+
| Sunday    |  254940 |   562530 |   2.2065 |
| Monday    | 6597981 | 19930080 |   3.0206 |
| Tuesday   | 8317437 | 25580179 |   3.0755 |
| Wednesday | 8601387 | 26411379 |   3.0706 |
| Thursday  | 7923696 | 24058165 |   3.0362 |
| Friday    | 8078934 | 24749009 |   3.0634 |
+-----------+---------+----------+----------+
6 rows in set (0.00 sec)
And here is by hour, basically showing it's 3 contracts during cash, 2 after hours.

 
Code
MariaDB [ticks]> select hour(`Date`) as `Hour`,count(`TickID`) as `Ticks`,sum(`LastSize`) as `Volume`, avg(`LastSize`) as `Avg Size` from `@ES#` where `Date` > '2015-01-01' group by hour(`Date`) order by hour(`Date`);
+------+---------+----------+----------+
| Hour | Ticks   | Volume   | Avg Size |
+------+---------+----------+----------+
|    0 |  111340 |   226530 |   2.0346 |
|    1 |  124062 |   259898 |   2.0949 |
|    2 |  269543 |   621971 |   2.3075 |
|    3 |  723267 |  1696901 |   2.3462 |
|    4 |  639796 |  1550635 |   2.4236 |
|    5 |  511400 |  1233989 |   2.4130 |
|    6 |  524084 |  1311047 |   2.5016 |
|    7 |  691526 |  1816778 |   2.6272 |
|    8 | 1358361 |  3550095 |   2.6135 |
|    9 | 6449196 | 18166526 |   2.8169 |
|   10 | 6689408 | 19446288 |   2.9070 |
|   11 | 4694523 | 14390248 |   3.0653 |
|   12 | 3227247 |  9790631 |   3.0337 |
|   13 | 3008669 |  8956046 |   2.9767 |
|   14 | 3543164 | 10690341 |   3.0172 |
|   15 | 5004344 | 18414997 |   3.6798 |
|   16 | 1143050 |  6748071 |   5.9036 |
|   17 |   49259 |   176906 |   3.5913 |
|   18 |  208143 |   539635 |   2.5926 |
|   19 |  162642 |   358279 |   2.2029 |
|   20 |  228663 |   484316 |   2.1180 |
|   21 |  165081 |   355348 |   2.1526 |
|   22 |  138199 |   283878 |   2.0541 |
|   23 |  109408 |   221988 |   2.0290 |
+------+---------+----------+----------+
24 rows in set (47.70 sec)
Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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Last edited by Big Mike; May 6th, 2015 at 01:42 PM.
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Old May 6th, 2015, 01:45 PM   #38 (permalink)
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Year to date - Day of week ticks vs volume (and average trade size per 'tick'). This is why I think everyone should just be using a volume chart.


And here is by hour, basically showing it's 3 contracts during cash, 2 after hours.


Mike

Thanks Mike, priceless information.

I updated the original post since it's clear now that it wasn't a data feed problem.

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Old May 6th, 2015, 03:08 PM   #39 (permalink)
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BetterRenko

An FYI for the good folks using BetterRenko:

I compared my realtime journal chart of the YM on a 5 BetterRenko from 4/30/15 with the current historical chart in NT (Continuum data feed from NTB). They look exactly the same, so BetterRenko folks shouldn't be affected by the data change - at least not after the bar forms (unless NT is using old historical data...)


Last edited by macgwrite; May 6th, 2015 at 03:09 PM. Reason: More info included
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Old May 6th, 2015, 03:41 PM   #40 (permalink)
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LukeGeniol View Post
This will affect also the exotic bars type like the various custom renko based on tick, the backtesting and also the indicators based on tick......Now they will have to be rethought.


macgwrite View Post
An FYI for the good folks using BetterRenko:

I compared my realtime journal chart of the YM on a 5 BetterRenko from 4/30/15 with the current historical chart in NT (Continuum data feed from NTB). They look exactly the same, so BetterRenko folks shouldn't be affected by the data change - at least not after the bar forms (unless NT is using old historical data...)

now don't get confused about tick charts and ticks in price

renko and also range charts need a certain amount of "ticks" (as in price) before creating a new bar. it doesn't matter if a trade is reported as 1 trade with 500 contracts or 500 trades with 1 contract. with other words the meaning of a tick here is like a 1/4 point in ES.

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