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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?

  #61 (permalink)
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Big Mike View Post
Thank you.

Mike

By the way there's a mistake in the quoted post, the variation in message size doesn't come from textual representation (I forgot we were comparing FAST and SBE) but instead that in FAST, those field values are encoded in binary to take up as few bytes as possible rather than a constant size binary representation.

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  #62 (permalink)
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Tradestation Users (CME Data Change)

Tradestation Data Integrity confirmed that they will change to the new CME data protocol this August (2015), before the CME change in September, so they have to time to trouble-shoot, etc.
Tradestation will make a formal announcement sometime this Summer to confirm the upcoming data change.


According to TS, their software engineers are aware of the impact that the new data protocol will have on Tick charts.
That said, they did not confirm nor deny if they will modify the TS platform in any way to accommodate the new data stream so as to keep their Tick charts useable.


As far as prior comments on Tick vs. Volume charts.
I have found Tick charts to be much more consistent & useable on All Volume day types (low volume days, high volume days, etc.).
Volume charts do work very well on most normal & high volume days, but are horrible on Lower Volume Days (at least on the TS platform).
On Lower Volume days, you mostly have retail traders driving the market & therefore you would need to adjust your share bar setting for the charts to be useable. Tick charts are affected on these days, but much less so given it is (or was) order based (not share based).

CH

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  #63 (permalink)
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Thanks. Wonder how this will affect the Time and Sales within Tradestation. I think T&S is grabbing all data currently from tick and it's a reconstruct. Will be interesting to see how exchange data is reported as currently it is seen. Will there be overlaps...missing.... out of orders.

Guess we will know when Tradestation cuts over.

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  #64 (permalink)
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You guys are wrong. Lots of people in this thread have no clue how basic/simple things work like a tick, it seems.

This is a good step from CME according to the design.

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  #65 (permalink)
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Well hope that is the case.

I use tradestation and while developing some stuff which is based on T&S. the developers could construct the full tape from tick charts if I did not have t&s running live. However at time of development I went with live data so did not dabble with t&s reconstructs from tick charts.

There were some recent thoughts I had about further development which would look into T&S but looking at this thread thought should wait as that would be looking at t&s reconstructs from tick charts.

Well will need to check and talk to developers if the reconstructed tape will be able to distinguish details I see today with proposed data changes.

Thnx


Last edited by paps; May 15th, 2015 at 05:46 AM. Reason: had some typo
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  #66 (permalink)
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aslan View Post
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.

Do you have any links to show that they are bundling by individual aggressor trades?

I couldn't see that when I looked - but then I am an occasional airhead.

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  #67 (permalink)
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DionysusToast View Post
Do you have any links to show that they are bundling by individual aggressor trades?

I couldn't see that when I looked - but then I am an occasional airhead.

I think we may be mixing terms in this thread. For me at least the term "bundling" refers to a data provider artificially collecting (or grouping) several trades into a packet and then once a fixed time duration has transpired the packet is transmitted, with the objective being to reduce output bandwidth. Interactive Brokers is a good example of a data provider doing this practice. This is what we up until now have referred to as "filtered" data.

It is my understanding MDP 3.0 is generating a single trade report for each individual aggressor trade that executes. Using the Big Mike 50 lot example, Mike's 50 lot trade would produce a single trade report of 50 lots in size, and within that trade report would also provide details on the individual (1, 2, 5, 12, 14 .... lot) trades that filled the 50 lot order. So in my view, this is not bundling in the classic sense. If you are concerned about that 2 lot limit order in the book that was used to fill part of Mike's 50 lot initiating trade, then the trade report provides that in the details of the report.

Now if Interactive Brokers (or some other data providers) chooses to further "bundle" these aggressor trades to achieve additional resource economy, that is completely outside the MDP 3.0 protocol as I understand it at this time.

I think some initial confusion may have arisen when we saw the details of the trade report, and the term bundling started being used to refer to the trade report details (those 1, 2, 5... lot trades) used to fill the initiating aggressor trade.

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  #68 (permalink)
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trendwaves View Post
I think we may be mixing terms in this thread. For me at least the term "bundling" refers to a data provider artificially collecting (or grouping) several trades into a packet and then once a fixed time duration has transpired the packet is transmitted, with the objective being to reduce output bandwidth. Interactive Brokers is a good example of a data provider doing this practice. This is what we up until now have referred to as "filtered" data.

It is my understanding MDP 3.0 is generating a single trade report for each individual aggressor trade that executes. Using the Big Mike 50 lot example, Mike's 50 lot trade would produce a single trade report of 50 lots in size, and within that trade report would also provide details on the individual (1, 2, 5, 12, 14 .... lot) trades that filled the 50 lot order. So in my view, this is not bundling in the classic sense. If you are concerned about that 2 lot limit order in the book that was used to fill part of Mike's 50 lot initiating trade, then the trade report provides that in the details of the report.

Now if Interactive Brokers (or some other data providers) chooses to further "bundle" these aggressor trades to achieve additional resource economy, that is completely outside the MDP 3.0 protocol as I understand it at this time.

I think some initial confusion may have arisen when we saw the details of the trade report, and the term bundling started being used to refer to the trade report details (those 1, 2, 5... lot trades) used to fill the initiating aggressor trade.

understood...

"It is my understanding MDP 3.0 is generating a single trade report for each individual aggressor trade that executes" - it's this specifically that I am interested in.

I haven't seen any documentation that states that this is the case. IQFeed seem to think it's collating trades by time.

So I'm wondering which documentation lead you to your understanding.

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  #69 (permalink)
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DionysusToast View Post
Do you have any links to show that they are bundling by individual aggressor trades?

Just look on the CME wiki, for example: Trade Summary

Just page down to the first image, and you can see how a msg is laid out with the trades, and the orders. The referenced example is an aggressor order that matched to multiple book levels: buy 40 @ market, and that results in trades of 10, 20, and 10 at three different prices, and matches 5 different target orders. So, this example is a little beyond what has been mentioned in this thread in that even the aggressor order is split up (has to be due to different prices), but you should get the idea if you just think of the same case where the aggressor order was a single entry vs 3.

The CME wiki is a little tricky to navigate, and a lot of info is inferred or missing (it is a wiki vs a spec), but you can get a lot of info there.

BTW, trendwaves post is dead on.


DionysusToast View Post
IQFeed seem to think it's collating trades by time.

Nope.

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  #70 (permalink)
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If this protocol is bundling just in the sense that they're encapsulated more data in a single packet without reducing accuracy then there shouldn't be a problem. If it also allows brokers like IB to potentially pass the data through I modified then that would be even better (although historical bid/ask would probably still be a problem).

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