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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?

  #21 (permalink)
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Big Mike View Post
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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I agree but CQG should have released something warning there customers.

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  #22 (permalink)
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Big Mike View Post
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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In 2009, people were upset because they could no longer see the size of the aggressor on trades.

Now - if they have brought this back to 2009, that's a good move. But if they are bundling ticks by second, that muddies the water even more.

On their side, it lessens bandwidth, on our side, we have less transparency.

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  #23 (permalink)
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Big Mike View Post
...
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.
...

This may depend upon the charting software and how the chart is built in that software. If the charting software starts drawing a new bar when the sum of volume for the current bar is greater than the bar interval, then this change will affect volume bars too.

For instance, if the charting software receives 100 trades each with size=1 at the same price, then a 10 volume chart will draw 10 bars with the price being the OHLC for all 10 bars. With this change, if data is summarized and instead of 100 trades, it receives 5 trades each with size=20, then the platform may draw just 5 bars.

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  #24 (permalink)
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Granularity

I don't understand how this change will affect the granularity in term of timestamp, will this speed up the timestamp or decrease it?

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  #25 (permalink)
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Hulk View Post
This may depend upon the charting software and how the chart is built in that software. If the charting software starts drawing a new bar when the sum of volume for the current bar is greater than the bar interval, then this change will affect volume bars too.

For instance, if the charting software receives 100 trades each with size=1 at the same price, then a 10 volume chart will draw 10 bars with the price being the OHLC for all 10 bars. With this change, if data is summarized and instead of 100 trades, it receives 5 trades each with size=20, then the platform may draw just 5 bars.

Then the platform would be at fault. A volume bar is equal to the volume you specify, no less, no more. Exceptions would be session end/start where your platform should allow you to start a new bar.

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  #26 (permalink)
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LukeGeniol View Post
I don't understand how this change will affect the granularity in term of timestamp, will this speed up the timestamp or decrease it?

Microseconds would be more granular than milliseconds.

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  #27 (permalink)
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Delta

Is anyone could tell me if this MDP issue will affect delta calculation?

Regards,
Kingsley

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  #28 (permalink)
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Kingsley View Post
Is anyone could tell me if this MDP issue will affect delta calculation?

Regards,
Kingsley

I hope and think that even if they bundle/aggregate the consecutive trades at the same price they will keep bid/ask trades separated, in this case the delta calculation will not be affected.

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  #29 (permalink)
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SierraChart View Post
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.

Strange response from a DataFeed vendor. You mean you did not read the protocol before you started using it to supply data to your clients? My first read of just the summary made it quite clear that raw data was gone, in favor of what is essentially snapshot data on a very fast time frame. And as a mere end consumer of the data, I was not even reading the announcement with any serious programming intent.

This post really scares me. A data vendor who is unaware of the format of the data that they supply? Fie!

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  #30 (permalink)
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Big Mike View Post
Microseconds would be more granular than milliseconds.

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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....

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