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 46,109 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?

  #81 (permalink)
 CH888 
Denver Colorado
 
Experience: Intermediate
Platform: Tradestation & MT4
Trading: ES, YM, Forex
Posts: 8 since Mar 2012
Thanks Given: 0
Thanks Received: 8

Does anyone have an update on Tradestation's switch to this new data protocol?


It is supposed to happen this Month (August), & last I heard (from emini-watch.com), TS was considering offering two different symbols for a particular instrument; one with bundled data, & the other unbundled (data converted on TS servers, as it is right now).


Anyway, emini-watch.com has an interesting article on the upcoming data change compared to the last one from a few years ago.
CME Changes Tick Data, Again! (MDP 3.0) | Emini-Watch.com


Please give an update on this topic relative to Tradestation if you have one.

Thanks,
CH

Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
Better Renko Gaps
The Elite Circle
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Build trailing stop for micro index(s)
Psychology and Money Management
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
59 thanks
Funded Trader platforms
36 thanks
NexusFi site changelog and issues/problem reporting
25 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #82 (permalink)
 CH888 
Denver Colorado
 
Experience: Intermediate
Platform: Tradestation & MT4
Trading: ES, YM, Forex
Posts: 8 since Mar 2012
Thanks Given: 0
Thanks Received: 8

TS now says that an announcement is coming at the end of this month (August); this notice will show up in your inbox at the Customer Center when you are logged in.

Supposedly the data switch is now slated for September, but they will not say what day.
They still acknowledge that Tick charts will be affected, but will not say what they will do to resolve that issue.


Emini-Watch should have a more thorough update later this month; Barry seems to have some pull with TS & gets more detailed info from them on platform & data issues.


Stay Tuned,

CH

Reply With Quote
  #83 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,398 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537


Just a note on how IQFeed is handling it.



Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #84 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,398 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537



Mike

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #85 (permalink)
 
paps's Avatar
 paps 
SF Bay Area + CA/US
 
Experience: None
Platform: TS, TOS, Ninja(Analytics)
Trading: NQ CL, ES when volatile mrkts
Posts: 1,739 since Oct 2011
Thanks Given: 2,176
Thanks Received: 1,726

Hi @CH888 ....did you hear anything from Barry.

From what I can tell I don't see any difference till date.
Or perhaps not been able to tell what has changed from the proposed changes looking into link by @Big Mike and the charts and stuff I have setup. So perhaps those need tweaks after I understand this.

Will run few things I typically run from a short term and long term perspective and have it run tomorrow during RTH to close..but so far cannot see any difference.

Thnx


CH888 View Post
TS now says that an announcement is coming at the end of this month (August); this notice will show up in your inbox at the Customer Center when you are logged in.

Supposedly the data switch is now slated for September, but they will not say what day.
They still acknowledge that Tick charts will be affected, but will not say what they will do to resolve that issue.


Emini-Watch should have a more thorough update later this month; Barry seems to have some pull with TS & gets more detailed info from them on platform & data issues.


Stay Tuned,

CH


Reply With Quote
  #86 (permalink)
mpxtreme
New York
 
Posts: 52 since Dec 2013
Thanks Given: 2
Thanks Received: 45

I have been watching the data on Rithmic,Continuum and TT Net very carefully at the micro level since this was announced.I have witnessed differences in the tick data and the tick data derived signals between the 3 platforms I use.I have had to make adjustments back and forth several times.No warning from the brokers or data vendors.Some vendors posted bulletins on their websites.The best being Rithmic's statement.

After speaking to a few different people in the business of selling data this is what went on.
The switch to MDP 3.0 was at different stages beginning in March.By different stages I mean some futures contracts on the CME,Cbot,Nymex were switched to MDP 3.0 before others.You can imagine the havoc it created.Before the transition was complete many retail customers complained about the new data having less ticks and it being an "unfair and HFT beneficial" consolidated feed without really understanding what it really meant at the granular level.So what the data vendors did,confirmed by a few of them and as a further example, look at the posted bulletin a few posts up from IQFeed.

The CME sends the data bundled aggressor side...IQFeed breaks it up and sends it un-bundled/non aggressor and 3rd party charting apps or other vendors can re bundle it. Sounds like clean data?


So basically we are getting MDP 3.0 protocol feed with pre MDP 3.0 hybrid broken up data.Call it what you will.

Do we want data that is "touched" before we get it which is subject to each and every data vendors preferred way of getting that coded?I doubt very much IQfeed,Rithmic,Continuum and Tradestation coders are having lunch together to discuss how it should be done.

I heard that the HFT firms fought the new data for awhile since they played with it from 2013...I'm wondering why.

Furthermore..every time I sent an email to a broker or tech support a week apart I've received a different answer,a retracted statement or a clueless response.

In summary we are getting MDP 3.0 non aggressor side data while MDP 3.0 is suppose to be aggressor side.
The legacy data from 2009 until now has been non aggressor...

To those who were trading back prior to 2009 should know which they prefer.

IF any of the vendors,brokers,micro-structure data traders care to comment and enlighten us I am all ears.

Reply With Quote
  #87 (permalink)
 mhamrin 
Fort Worth TX USA
 
Experience: Intermediate
Platform: NinjaTrader
Trading: ES
Posts: 41 since Sep 2015
Thanks Given: 12
Thanks Received: 20


mpxtreme View Post
I have been watching the data on Rithmic,Continuum and TT Net very carefully at the micro level since this was announced.I have witnessed differences in the tick data and the tick data derived signals between the 3 platforms I use.I have had to make adjustments back and forth several times.No warning from the brokers or data vendors.Some vendors posted bulletins on their websites.The best being Rithmic's statement.

After speaking to a few different people in the business of selling data this is what went on.
The switch to MDP 3.0 was at different stages beginning in March.By different stages I mean some futures contracts on the CME,Cbot,Nymex were switched to MDP 3.0 before others.You can imagine the havoc it created.Before the transition was complete many retail customers complained about the new data having less ticks and it being an "unfair and HFT beneficial" consolidated feed without really understanding what it really meant at the granular level.So what the data vendors did,confirmed by a few of them and as a further example, look at the posted bulletin a few posts up from IQFeed.

The CME sends the data bundled aggressor side...IQFeed breaks it up and sends it un-bundled/non aggressor and 3rd party charting apps or other vendors can re bundle it. Sounds like clean data?


So basically we are getting MDP 3.0 protocol feed with pre MDP 3.0 hybrid broken up data.Call it what you will.

Do we want data that is "touched" before we get it which is subject to each and every data vendors preferred way of getting that coded?I doubt very much IQfeed,Rithmic,Continuum and Tradestation coders are having lunch together to discuss how it should be done.

I heard that the HFT firms fought the new data for awhile since they played with it from 2013...I'm wondering why.

Furthermore..every time I sent an email to a broker or tech support a week apart I've received a different answer,a retracted statement or a clueless response.

In summary we are getting MDP 3.0 non aggressor side data while MDP 3.0 is suppose to be aggressor side.
The legacy data from 2009 until now has been non aggressor...

To those who were trading back prior to 2009 should know which they prefer.

IF any of the vendors,brokers,micro-structure data traders care to comment and enlighten us I am all ears.

So, where are we at with this. A friend asked me what I was using and I didnt' even know. I think most people don't know. Want to hear from aggressor side users...because they are the minority. And probably the ones making the money...just speculating.

I sent an email to rithmic and they have a special protocol- Rithmic 01 mdp3 gateway. This is not their default feed.

I'm going to have to spend a lot of time re-working all my settings. But I believe it'll pay off.

Again, aggressor side data users, please comment.

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