If it's showing the size of the agressor (I think that's the correct term), and not the total of everything at that time (however small that timespan might be), I think this would be superior. What I understood from what I read leaves room for both interpretations. The example was an agressor. Text didn't limit it to that...
Yeah, honestly I'm skeptical that the CME would do anything to benefit small-timeframe traders whatsoever. It'll be presented as having a bunch of great advantages, but behind the scenes there may be actual negative ramifications.
If it truly does basically go back to a pre-2009 type treatment of data, then good. But it may end up just snapshotting more data in the name of "efficiency."
Interesting thread, but there seems to be a lot of mis-understandings.
The new protocol sends thru trades using an event based model. So if an aggressor order triggers 5 other orders (i.e. buy 5 @ market triggers 5 sell orders with qty = 1), a single trade entry is sent thru. To me, this is NOT bundling, but instead is correct behavior in that a single aggressor trade filled (or partially filled). The messages for the event also contain the number of orders and the qty that was filled against each order, so that trade could be surfaced as 5 single contract trades, but while that matches todays feed behavior, it seems like that is not the way to go IMO. Would you rather know that someone bought 100 or see 100 1 car entries fly by?
Say you have a single aggressor order that triggers a bunch of orders at different prices. In this case, multiple trade entries are sent thru, one for each price. These trade entries are bundled into the same event and have the same timestamp, but should be represented as multiple trades. Again, the order fill qty is available, so it could be broken down into smaller pieces based on the matched order vs the aggressor order. Again, this is not really bundling.
There are some other fringe cases for spreads, implied trades, and misc events, but I think the above are the major ones that matter.
Another type of bundling is the bundling of multiple messages into a packet that is sent over the network. I have not seen any doc on what kind of time window is used to do this bundling, but it is required to do this in order to have an efficient transfer of data. I suspect the window is rather small so as not to affect latency.
The event based model sends thru trades marked to the nano-second, but really there is not much use for this granularity for the mere mortal, especially when your latency is measured in ms. Also, most charting platforms won't be able to record the ns anyway, so will likely be truncated back to something less granular.
Also, the aggressor is properly marked, so things like delta should be fine.
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Our programmer is well aware of the format, it had to be very thoroughly understood and we went into it in a lot more depth than just reading the summary. The end result of the new CME protocol as we are currently using it was not fully understood by management. We are still only in the testing phases of using this new protocol.
We understood the data format is different, but that does not mean that we cannot break out the individual trades. There was a misunderstanding by management of the details of the protocol and the fact that our server is transmitting fewer number of trades and we are not breaking out the individual trades from the messages. This is what we meant when we were not aware of this. We have done further research and we can break out the individual trades and we will do that.
In summary, the the raw data is not gone. The new CME simple binary encoding data feed does provide it and is accessible.
Last edited by SierraChart; May 7th, 2015 at 01:05 AM.
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