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CME enhanced the reporting of trades
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CME enhanced the reporting of trades

  #1 (permalink)
Market Wizard
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CME enhanced the reporting of trades

I don't know if there's already a thread about this. It's in effect since Sunday, Oct. 4th. For those using tick charts it might be important.

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CL Assassin
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Details in attached .PDF

Quick read seems to hide the "smart money" buys/sells by breaking the single large contract buy/sell into multiple smaller batches.

Thoughts?

Gary

Attached Thumbnails
CME enhanced the reporting of trades-equityfuturesenhancements.pdf  

Last edited by Gary; October 8th, 2009 at 11:20 AM.
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Silvester17 View Post
I don't know if there's already a thread about this. It's in effect since Sunday, Oct. 4th. For those using tick charts it might be important.

I has caused quite a confusion on tick charts. There is a write-up on it at emini watch:

CME Says Better, Faster, Cheaper – I Don’t Think So

From what I see you can just about double your tick chart size. I was using 699 so I'm now trying 1400. So far I don't really see a difference in my method but I'm going to give it more time to find out.

One thing that impacts me is I am currently forward-testing a strategy that uses tick charts. Now I have to double the tick chart size so it kind of resets my walk-forward period.

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Faster Tick charts due to CME change

I didn't know this until recently, so I thought I'd pass it on. I apologize if I'm repeating something already posted, but I haven't seen it yet.

On 10/4 the CME changed that way it reports tick data to data providers. Basically, they are providing finer-grained tick data and not bunching-together multiple orders. The overall effect is that tick charts will appear to move faster than what you're used to.

For more details see these links

CME Tick Data Changes

a solid heads up on the stock indexes

Electronic Futures Trader | The truth about E-mini S&P tick charts changes as of October 4th!

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Dupe. Moved to the other thread here.

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cunparis View Post
I has caused quite a confusion on tick charts. There is a write-up on it at emini watch:

CME Says Better, Faster, Cheaper – I Don’t Think So

From what I see you can just about double your tick chart size. I was using 699 so I'm now trying 1400. So far I don't really see a difference in my method but I'm going to give it more time to find out.

One thing that impacts me is I am currently forward-testing a strategy that uses tick charts. Now I have to double the tick chart size so it kind of resets my walk-forward period.

The way I understand it, it's exactly the other way around. Instead of bundling a lot of small trades into one big one, they show all those little trades. And not that they brake down a big trade into a bunch of small ones. For me it makes a lot more sense and many volume indicators are going to be more accurate. Hope that makes sense.

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New CME data---better or worse???

I actually understood that both were true: on the one hand they will now longer bunch smaller orders together so that the data feed we receive should be more accurate, but at the same time they will allow "rapid fire" ordering which means traders with larger lots can send their order in a multiples of smaller orders rather than as a single order. This will in effect allow them to hide in a way they were not able to previously. For sure I noticed that there are fewer larger order on the tape. I think its too early to tell if the advantage out weighs the disadvantage, or vice verse.

Ron

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rsi77 View Post
I actually understood that both were true: on the one hand they will now longer bunch smaller orders together so that the data feed we receive should be more accurate, but at the same time they will allow "rapid fire" ordering which means traders with larger lots can send their order in a multiples of smaller orders rather than as a single order. This will in effect allow them to hide in a way they were not able to previously. For sure I noticed that there are fewer larger order on the tape. I think its too early to tell if the advantage out weighs the disadvantage, or vice verse.

Ron

That's my understanding too. I'd have to think that this essentially kills the usefulness of EOTPro's volume splitter indicator, or at least degrades its usefulness, or any other institutional volume tracking indicators, much to the pleasure of big institutions that don't like little retail guys jumping in based on their order flow.

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Market Wizard
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shodson View Post
That's my understanding too. I'd have to think that this essentially kills the usefulness of EOTPro's volume splitter indicator, or at least degrades its usefulness, or any other institutional volume tracking indicators, much to the pleasure of big institutions that don't like little retail guys jumping in based on their order flow.

you need to understand what is the real purpose of splitting their big order into many tiny ones a) to avoid retail detection? b) to avoid pushing the market in an undesirable direction?

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Trade with the flow
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shodson View Post
That's my understanding too. I'd have to think that this essentially kills the usefulness of EOTPro's volume splitter indicator, or at least degrades its usefulness, or any other institutional volume tracking indicators, much to the pleasure of big institutions that don't like little retail guys jumping in based on their order flow.

I don't think their volume splitter ever had an edge so I think it doesn't matter really.

So far my volume patterns indicator (based on Better Volume for Tradestation) is working fine. I haven't noticed a change. For me 2*50 contracts on the buy side = 100 contracts on the buy side cause I don't try and split them.

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