CME tag 346 Aggregation

nonlinear5 · Dec 27, 2015

cjbuckley4 said:
I'm aware of this case, I believe I've correctly accounted for trades here though. The number of orders tag is also provided in the trade updates.

Can you identify a specific time window and the instrument where you observe the irregularity? I can check it on my end.

cjbuckley4 · Dec 27, 2015

nonlinear5 said:
Can you identify a specific time window and the instrument where you observe the irregularity? I can check it on my end.

Tue, 28 Jul 2015 20:53:05.476311, I'm seeing the number of orders on the ask of ESU5 at 2088.25 appear to jump from 35 to 139 at Tue, 28 Jul 2015 18:54:58.718215. This isn't a particularly volatility period or anything, just the first example I found when I began recording that day.

Let's hope I'm wrong. I'm using this discussion to inform my choice of buying Nanex vs. DataMine historical data, because Nanex is cheaper but eschews tag 346. So if tag 346 can break down like this in practice, I see little reason to pay for DataMine. Then again, if I am indeed wrong, I'd live to buy the DataMine data and hold onto this Q position info. Thanks for your help.

nonlinear5 · Dec 28, 2015

cjbuckley4 said:
Tue, 28 Jul 2015 20:53:05.476311, I'm seeing the number of orders on the ask of ESU5 at 2088.25 appear to jump from 35 to 139 at Tue, 28 Jul 2015 18:54:58.718215.

Is that from the MDP 3.0 feed, or from FixFast feed? And which timezone are these timestamps in?