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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?

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  #1 (permalink)
 
Malthus's Avatar
 Malthus 
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Update: There wasn't any data feed problem in the end. The different tick charts have to do with the migration to the new MDP 3.0 data protocol, which bundles trades and therefore shows a different tick count and behaviour than it did before. The issue was that this change was expected to happen around September, but CQC already migrated over the weekend without any warning to their users.


Update 2: Eventually everyone will have to migrate to MDP 3.0. If you want your new volume chart to look like your old tick chart, just use a volume chart 3x the size of the tick chart. Link to study



CQC has been showing problems with tick data since yesterday, missing a lot of ticks.

Both charts are 2000 tick. The one on the left has CQC as data feed and the one on the right has Rhythmic.



I read somewhere that this might be the issue:


Quoting 
"I talked with a Market Data Quality guy at the CME today, and the disparity so far seems to be related to the fact that the CME has been planning to move to a different, more lean & reliable data comm protocol. Since 1992 or so financial markets have been using "FIX/FAST" as the industry standard protocol, but CME is migrating to a new standard "MDP 3.0". In talking with CQG today, they just switched to the new protocol this weekend. "

Does anyone have any information about this migration to MDP 3.0 and if this might be the cause of the problem?

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The chart on the right has no x-axis, making it close to useless. Can you post a better example?

Mike

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I believe the correct name is MDP, not MDE.

https://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+MDP+3.0+Market+Data

Mike

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https://www.cmegroup.com/globex/developing-to-cme-globex/cme-globex-enhancements.html





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CME MDP 3.0 Market Data Handler SDK (C++, Java, .NET) : OnixS





Mike

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Big Mike View Post
The chart on the right has no x-axis, making it close to useless. Can you post a better example?

Mike


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@DTN IQFeed @IQFeed James when will IQFeed make the change, and do you have any additional news on what the underlying change in data should reflect?

Mike

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@SierraChart when will Barchart/SC make the change, and do you have any additional news on what the underlying change in data should reflect?

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@Big Mike,

Thanks for your question. There is a parallel conversation on this topic taking place on our forums at DTN IQFeed, DTN.IQ, DTN ProphetX Support Forums. In summary, we continue working with the exchange to try to find solutions to the fact that their new protocol bundles some trades. We made the CME Group aware of the issue months ago. At this time we donít know if changes will be made to accommodate our/your needs, but we continue to fight for our customerís needs nonetheless. We will be holding off on converting to MDP 3.0 until itís absolutely necessary which means our customers are receiving unbundled trades today, no differently than they did yesterday.

Feel free to contact me with anymore questions.

Thanks
James

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