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That's gonna hose up a lot of stuff in a hurry ... lol
But the good news is, maybe we get back our beloved aggregated time and sales they (CME) took away from us back in 2009.
@Malthus ... maybe rather than looking at two charts, study the Time and Sales of each stream and see if the old stream is thousands of one lot orders and the new stream is the actual initiating trades meaning a slower stream of 10, 20, 35, 100, 300, ... lot orders.
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Trading: energy
Posts: 114 since Jul 2012
Thanks Given: 81
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FYI, i am using Sierra with CTS as my data provider, they announced a rolling migration, CME Agricultural futures and options CBOT Financial futures and options have already been migrated. I regrettably dont have historical charts to show the difference. since i primarily trade off tick charts, and actually use the volume of said tick charts as part of my primary trading system, i am extremely nervous and wondering what comes this way.
Tick charts certainly will be affected with that migration. If I got it right, you should get aggregated volume data at price with new protocol instead of every tick with legacy FIX/FAST. As well tapes of any kind will be affected.
I think the key is in HOW they bundle the ticks, there appears to be scant information on that but borrowing from the IQFeed site:
OK - so bundle by same time and price (and side hopefully) - the question that then comes to mind is how granular is that price?
2 trades cannot occur at the same time - not if you go down to a low enough time precision. Even when a large order for say 1000 contracts come in, it still needs to be filled against multiple limits and there will still be a tiny, tiny gap between them.
So maybe it's bundling trades by second (bad), millisecond (not great) or nanosecond (probably won't be a lot of bundling).
More importantly - one would presume if a trade hits the offer at 2000 and price ticks up and the next trade hits the bid at 2000 that they would not be bundled....
I have posed both questions to DTN.
I think unbundling as proposed by DTN is going to be an uphill struggle for them.
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We were not aware that MDP 3.0 which uses simple binary encoding, bundles trades.
We have deployed it on one of our servers for the CME equities and Forex futures. With this news, we will revert back and stay away from this as long as we can.
We are going to confirm though what we are hearing in this thread.
I'm being told CQG switched the CME data to MDP 3.0 this weekend and its why users of CQG saw downtime this weekend. I was told this direct from CQG via a direct message on twitter. I'm heavily concerned as to why there was no email from NT or any other platforms that use CQG heavily?
The bundling of trades in MDP 3.0 can heavily effect a traders strategies and turn a winning strategy into a losing one if your using tick charts or time and sales data!