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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).
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.
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.
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.