NexusFi: Find Your Edge


Home Menu

 





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


Discussion in Brokers

Updated
      Top Posters
    1. looks_one Big Mike with 17 posts (34 thanks)
    2. looks_two artemiso with 6 posts (2 thanks)
    3. looks_3 LukeGeniol with 6 posts (1 thanks)
    4. looks_4 Malthus with 5 posts (18 thanks)
      Best Posters
    1. looks_one SierraChart with 13.5 thanks per post
    2. looks_two aslan with 7 thanks per post
    3. looks_3 trendwaves with 3.6 thanks per post
    4. looks_4 Big Mike with 2 thanks per post
    1. trending_up 46,135 views
    2. thumb_up 193 thanks given
    3. group 50 followers
    1. forum 86 posts
    2. attach_file 0 attachments




 
Search this Thread

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

  #41 (permalink)
 
LukeGeniol's Avatar
 LukeGeniol 
Italy (IT) Italy
 
Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker: Rithmic
Trading: CL, Brent, GC, TF
Frequency: Daily
Duration: Minutes
Posts: 1,499 since Apr 2010
Thanks Given: 408
Thanks Received: 985


Big Mike View Post
I did a test on millisecond data on ES from Friday.
...............................

Mike

You can see the millisecond in Sierra Chart time and sale too...


Silvester17 View Post
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.

My bad you are right tick chart is constructed by the number of trades, while other bars are constructed by the tick as a minimum change in price.

Take your Pips, go out and Live.
Luke.
Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Exit Strategy
NinjaTrader
NexusFi Journal Challenge - April 2024
Feedback and Announcements
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Online prop firm The Funded Trader (TFT) going under?
Traders Hideout
Build trailing stop for micro index(s)
Psychology and Money Management
 
  #42 (permalink)
 i960 
San Francisco, CA
 
Experience: Advanced
Platform: SC, eSignal
Broker: IB
Trading: Spreads
Posts: 46 since Jan 2015
Thanks Given: 44
Thanks Received: 43

Bundling of data which makes T&S actually more accurate is what is desired. This is a positive change if that's actually occurring.

To the people using tick charts: stop using tick charts. Use volume charts which are superior.

Reply With Quote
  #43 (permalink)
 GregLGTP 
Austin, TX
 
Experience: Beginner
Platform: NinjaTrader
Broker: NT Broker
Trading: ES
Posts: 121 since Mar 2015
Thanks Given: 258
Thanks Received: 70



i960 View Post
Bundling of data which makes T&S actually more accurate is what is desired. This is a positive change if that's actually occurring

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...

Anyway, that's how I read it. -g

Reply With Quote
  #44 (permalink)
 i960 
San Francisco, CA
 
Experience: Advanced
Platform: SC, eSignal
Broker: IB
Trading: Spreads
Posts: 46 since Jan 2015
Thanks Given: 44
Thanks Received: 43


GregLGTP View Post
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...

Anyway, that's how I read it. -g

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."

Reply With Quote
  #45 (permalink)
 
aslan's Avatar
 aslan 
Madison, WI
 
Experience: Advanced
Platform: ALT
Trading: ES
Posts: 625 since Jan 2010
Thanks Given: 356
Thanks Received: 1,127

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.

Reply With Quote
  #46 (permalink)
 
SierraChart's Avatar
 SierraChart 
New Zealand
 
Experience: Master
Platform: Sierra Chart
Broker: Numerous
Trading: NONE
Posts: 114 since Feb 2011
Thanks Given: 4
Thanks Received: 243


koganam View Post
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!

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.

Reply With Quote
  #47 (permalink)
 
cory's Avatar
 cory 
virginia
 
Experience: Intermediate
Platform: ninja
Trading: NQ
Posts: 6,098 since Jun 2009
Thanks Given: 877
Thanks Received: 8,090


Quoting 
... 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.

excellent, I hope Ninja will do the same.

Reply With Quote
  #48 (permalink)
 bdeja1 
albuquerque,new mexico
 
Experience: Beginner
Platform: ninja trader
Broker: Ninja Brokerage/Kinetick/Continuum
Trading: CL,ES
Posts: 219 since Nov 2009
Thanks Given: 617
Thanks Received: 836

I've had many more winning trades and cleaner setups this past week with my system, which is tick based price action

Reply With Quote
Thanked by:
  #49 (permalink)
 
cory's Avatar
 cory 
virginia
 
Experience: Intermediate
Platform: ninja
Trading: NQ
Posts: 6,098 since Jun 2009
Thanks Given: 877
Thanks Received: 8,090


bdeja1 View Post
I've had many more winning trades and cleaner setups this past week with my system, which is tick based price action

Then data feed provider should give user option to select bundle or unbundle data.

Reply With Quote
Thanked by:
  #50 (permalink)
 Ruffcut 
South Lyon Michigan USA
 
Experience: Intermediate
Platform: Ninjatrader, AMP, tradeking thinkorswim
Trading: CL, TF
Posts: 61 since Sep 2012
Thanks Given: 617
Thanks Received: 106



bdeja1 View Post
I've had many more winning trades and cleaner setups this past week with my system, which is tick based price action

My 2400 tick CL does look cleaner, also.
Mack from PATS says he is changing 2000ES tick chart to lower level, like 500 to 1000 ticks. Not sure what he settled on.

Reply With Quote




Last Updated on May 19, 2017


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts