Globex Data Changes - 18_Dec_2005

http://www.cme.com/trading/get/sup/glxnews2825.html#M6

from the above link:

Trade (M6) Message Aggregation
CME continually strives to improve the electronic trading experience for our customers. Recent enhancements, along with the overall increase in electronic trading, have increased the volume of CME market data. The introduction of mass quoting functionality for CME options on futures has nearly doubled peak message rates since early October 2005. CME also recently implemented an upgrade for CME Eurodollars on the CME Globex platform, doubling the quantity of orders processed per second but also increasing the number of implied quotes disseminated.

Effective Sunday, December 18, 2005 (trade date Monday, December 19), to reduce the volume of CME market data messages, particularly during peak trading periods, CME is implementing a change to the Trade (M6) market data message. The new M6 Message Aggregation model reduces the time required to process each M6 message and reduces latency in CME market data dissemination.

This CME market data change does not require any customer development or certification.

Current State

* An M6 message is generated for every trade component, disseminating a new message for each contra-party quantity.

Future State - M6 Message Aggregation Model

* CME will immediately disseminate the first M6 message for each trade of each instrument at a particular price.
* Subsequent M6 messages are aggregated for each trade, by price, instrument, side variation, and trade type, disseminating a message for the largest contra-party quantity.
o The subsequent M6 messages are aggregated until an M6 is triggered for dissemination by:
1. Change of order;
2. Change of price; or,
3. A Last Best Price (M0) message is disseminated.

For example, currently, one 5-lot matching against five resting 1-lots generates five M6 messages. The new M6 Message Aggregation model recognizes the M6 messages are generated by the single 5-lot order and publishes the first M6 for the first 1-lot fill on the 5-lot order. The market data generated by the remaining four 1-lot fills is aggregated in a single M6 message with the Trade Quantity field (position 70-81) equal to four.

This change will greatly reduce the number of M6 messages sent during peak trading periods, and will have corresponding bandwidth and processing savings for the customer.
More...

hth

take care :)

omni
 
Quote from kevinmclark:

Do you know if this change will impact tick and/or volume charts? I hope not! If yes, this is a hugh change.
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Well, if I am interpreting this correctly, your tick charts will be screwed up big time. Your Volume bar charts (if using e-Signal) won't be. I use two volume charts for s/r, but my entries are based off a 1597 tick. Oh well... looks like I will have to do some playing around to find a volume chart that closely or nearly matches the 1597 tick.

This blows!
 
Does this mean I will have to adjust/divide my tick charts by five to create comparable charts (for example an existing 500T chart will be equal to a 100T chart after this change? :confused:
 
Quote from kevinmclark:

Does this mean I will have to adjust/divide my tick charts by five to create comparable charts (for example an existing 500T chart will be equal to a 100T chart after this change? :confused:
More...
No, I do not believe it is as simple as that. If I understand the change correctly, 5 orders for 10 lots at the bid, matched against 5 orders for 10 lots each at the ask (in this case 100% matching) will still send 5 messages (of course I could be wrong and it could now send 2 messages). However, one 50 lot order matched against 5 10-lot orders will not generate 5 messages - it looks like it will generate 2 messages in that case, 1 10-lot and 1 40-lot.

My advice, if you are using tick charts to trade, would be to wait and see.

Likewise, if you are using any indicators, these will be affected at the changeover. Also, any automated trading systems using tick data would require changes.

Volume charts should(???) remain unchanged. :confused:

Once again, best advice is WAIT.
 
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