CME tag 346 Aggregation

cjbuckley4 · Dec 26, 2015

It's come to my attention that CME may be combining multiple updates to price levels into a single message. I've come to this conclusion by observing several instances where tag 346 (Number of Orders) changes by a number greater than 1. This aggregation is unsettling because it ruins a lot of assumptions about the structure of the Q. I have spoken to three different tech support and market data sales people from CME over the last two weeks, but no one seems to be getting to the bottom of this and our conversations have halted, although they don't deny it happens. Does anyone know precisely the conditions under which they will bundle multiple tag 346 updates together? That has been my main question which they had a lot of trouble answering. To be clear, I'm not discussing how to unbundle the resting orders matched with trade messages using tag 37705, I'm interested in aggregation of quotes.

Thanks.

trilogic · Dec 27, 2015

CFTC will ... contact them

cjbuckley4 · Dec 27, 2015

trilogic said:
CFTC will ... contact them

It is a little odd that their feed of record aggregates some information. Believe me, I'm 100% hoping I'm wrong here. If they did actually distribute every update, it would make it a lot easier for me to reconstruct the Q.

2rosy · Dec 27, 2015

Fix messages always had multiple market data entries. That's not cme specific

cjbuckley4 · Dec 27, 2015

2rosy said:
Fix messages always had multiple market data entries. That's not cme specific

There's no way to deaggregate it like tag 37705 for trades, correct? I'm not seeing anything, but this wouldn't be the first time I've missed something.

trilogic · Dec 27, 2015

cjbuckley4 said:
It is a little odd that their feed of record aggregates some information. Believe me, I'm 100% hoping I'm wrong here. If they did actually distribute every update, it would make it a lot easier for me to reconstruct the Q.

seriously I would contact CFTC, the CME 'needs" the proper attention and probe

jelite · Dec 27, 2015

CJ, although I don't have access to that data, you should only see that after a match event. During a match event, the book is 'locked' and all incoming orders are aggregated. Once the match event (trade really-could be a cascade of stop losses etc. but really just a 'trade') is over, the book is updated with an 'aggregate' book update (that's where you likely see the order count 'mismatch'). Please let us know if you see something else.

trilogic · Dec 27, 2015

jelite said:
CJ, although I don't have access to that data, you should only see that after a match event. During a match event, the book is 'locked' and all incoming orders are aggregated. Once the match event (trade really-could be a cascade of stop losses etc. but really just a 'trade') is over, the book is updated with an 'aggregate' book update (that's where you likely see the order count 'mismatch'). Please let us know if you see something else.

what happened to the good ol' days when execution information and preference went to 'size" first! what a shame

Hey "I have a guy" he wants to sell 2000 dec/jan spread, any interest, " no thanks" ok I will show the market

nonlinear5 · Dec 27, 2015

cjbuckley4 said:
I've come to this conclusion by observing several instances where tag 346 (Number of Orders) changes by a number greater than 1.

Tag 346 is the number of orders at the given price level. I can see a number of legit cases where this quantity can change by a number of greater than 1.

Foe example, consider that the top of the book is 100.00 bid, 100.10 offer. Suppose there are 5 orders to buy at 100.00, each for 20 contracts, and 5 orders to sell at 100.10, each for 20 contracts. At this state of the book, tag 346 at price level 100.10 would be reported as 5. Now, the market order to buy 60 contracts comes in. This will reduce the number of orders at price level 100.10 from 5 to 2, in a single change.

cjbuckley4 · Dec 27, 2015

nonlinear5 said:
Tag 346 is the number of orders at the given price level. I can see a number of legit cases where this quantity can change by a number of greater than 1.

Foe example, consider that the top of the book is 100.00 bid, 100.10 offer. Suppose there are 5 orders to buy at 100.00, each for 20 contracts, and 5 orders to sell at 100.10, each for 20 contracts. At this state of the book, tag 346 at price level 100.10 would be reported as 5. Now, the market order to buy 60 contracts comes in. This will reduce the number of orders at price level 100.10 from 5 to 2, in a single change.

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.