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

  #11 (permalink)
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Quoting 
The Trade Summary data is the first type of message sent on the market data feed for a trade.

A Trade Summary message represents a distinct match comprised of all orders that traded together as the result of a single aggressing order, elected stop order, mass quote, or a market state event.

That's gonna hose up a lot of stuff in a hurry ... lol

But the good news is, maybe we get back our beloved aggregated time and sales they (CME) took away from us back in 2009.

@Malthus ... maybe rather than looking at two charts, study the Time and Sales of each stream and see if the old stream is thousands of one lot orders and the new stream is the actual initiating trades meaning a slower stream of 10, 20, 35, 100, 300, ... lot orders.

Be Patient and Trade Smart

Last edited by trendwaves; May 5th, 2015 at 05:20 PM.
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  #12 (permalink)
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I received the following message from my broker:


Quoting 
CME Globex Legacy Market Data to MDP 3.0 Market Data Conversion


Here is the link to full details: CME Market Data Conversion

Per the CME, All Data Feeds will need to make this conversion by October 2015 – All Legacy FIX/FAST Channels will be decommissioned.

Example: Here is how the change results in a different presentation of the ticks –
If we had trades like this for ESM5…

211175 vol 5
211175 vol 2
211175 vol 1
211175 vol 12
(total, 20 @)

Now we get a trade summary like this
211175 vol 20

Same volume, less detail.

This will affect your Tick Charts – please be aware and adjust your trading strategies accordingly.


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  #13 (permalink)
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FYI, i am using Sierra with CTS as my data provider, they announced a rolling migration, CME Agricultural futures and options CBOT Financial futures and options have already been migrated. I regrettably dont have historical charts to show the difference. since i primarily trade off tick charts, and actually use the volume of said tick charts as part of my primary trading system, i am extremely nervous and wondering what comes this way.

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  #14 (permalink)
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Tick charts certainly will be affected with that migration. If I got it right, you should get aggregated volume data at price with new protocol instead of every tick with legacy FIX/FAST. As well tapes of any kind will be affected.

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  #15 (permalink)
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artemiso View Post
Can you clarify the problem? This behavior is semantically correct, 1 aggressor against 4 resting orders on the central book of size 5+2+1+12=20 at price 211175 should bundle like:

... 270=211175 271=20 ... 37705=5 ...

On the other hand if it's 2 separate, successive aggressors at the same price, in a real case:

##############################################################
Parsing Seq: 705041
##############################################################
Symbol: 6BU4
MDEntryPx: 16473
MDEntrySize: 2
NumberOfOrders: 2
AggressorSide: 1

Symbol: 6BU4
MDEntryPx: 16474
MDEntrySize: 6
NumberOfOrders: 2
AggressorSide: 1

##############################################################
Parsing Seq: 705062
##############################################################
Symbol: 6BU4
MDEntryPx: 16474
MDEntrySize: 3
NumberOfOrders: 2
AggressorSide: 1

Symbol: 6BU4
MDEntryPx: 16474
MDEntrySize: 5
NumberOfOrders: 2
AggressorSide: 1

Symbol: 6BU4
MDEntryPx: 16475
MDEntrySize: 1
NumberOfOrders: 2
AggressorSide: 1

Am I correct that the feedback you're giving is that they should unbundle the trade event into 4 events like this?

... 270=211175 271=5 ... 37705=2 ...
... 270=211175 271=2 ... 37705=2 ...
... 270=211175 271=1 ... 37705=2 ...
... 270=211175 271=12 ... 37705=2 ...

This would be semantically incorrect. I've been working with CME on their pre-production feed since early 2014 and they've always fixed the bugs within 1 week.

I don't think the issue is a bug personally.

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.

But to be honest, I have nothing to say really. I just wanted to quote you before you deleted your post, and say hello.

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  #16 (permalink)
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This is one reason why a chart type can't be an edge.

Vol charts are much better any way...

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  #17 (permalink)
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Well this is interesting.

I think the key is in HOW they bundle the ticks, there appears to be scant information on that but borrowing from the IQFeed site:


Quoting 
As a high level summary, the change relates to how the exchange bundles trades within their messaging. Right now we are able to process each order for a trade independently. In the new protocol the exchange summarizes multiple orders under certain circumstances. For example, if you look at the current feed and see multiple trades at the same time and price (but different sizes), those will typically be bundled into a single trade going forward with MDP 3.0. So instead of multiple ticks such as 1@2084.75, 3@2084.75, 2@2084.75, 5@2084.75... you will see a single tick of 11@2084.75.

Since the middle of last year, our engineers have been trying to find ways to unbundle the data in the new protocol while still maintaining accuracy and reliability. Unfortunately we haven't found a good way to accomplish this with the data provided by the protocol. We continue to look at our data processing options in cooperation with the CME Exchange. In the mean time, we are happy to be able to continue providing our customers the accurate tick data they have come to expect.

OK - so bundle by same time and price (and side hopefully) - the question that then comes to mind is how granular is that price?

2 trades cannot occur at the same time - not if you go down to a low enough time precision. Even when a large order for say 1000 contracts come in, it still needs to be filled against multiple limits and there will still be a tiny, tiny gap between them.

So maybe it's bundling trades by second (bad), millisecond (not great) or nanosecond (probably won't be a lot of bundling).

More importantly - one would presume if a trade hits the offer at 2000 and price ticks up and the next trade hits the bid at 2000 that they would not be bundled....

I have posed both questions to DTN.

I think unbundling as proposed by DTN is going to be an uphill struggle for them.

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  #18 (permalink)
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We were not aware that MDP 3.0 which uses simple binary encoding, bundles trades.

We have deployed it on one of our servers for the CME equities and Forex futures. With this news, we will revert back and stay away from this as long as we can.

We are going to confirm though what we are hearing in this thread.

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  #19 (permalink)
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I'm being told CQG switched the CME data to MDP 3.0 this weekend and its why users of CQG saw downtime this weekend. I was told this direct from CQG via a direct message on twitter. I'm heavily concerned as to why there was no email from NT or any other platforms that use CQG heavily?

The bundling of trades in MDP 3.0 can heavily effect a traders strategies and turn a winning strategy into a losing one if your using tick charts or time and sales data!

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  #20 (permalink)
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Several years ago everyone was upset the CME unbundled. Now upset they are bundling. People dislike change, no matter the root of it.

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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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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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