Globex Tick Aggregation - WHY ?????

L

local_crusher

Today CME switched Globex market data dissemination. Instead of distributing the hit orders as single trades, they are now aggregated.

Does anyone have a clue why ?
Their reasoning (network traffic blah...) is absurd as bid/ask changes make up 80% of all messages.

Maybe some link to 990?
 
Recently, the message traffic for market data has been rapidly increasing. In an effort to reduce the amount of message traffic, the CME plans to make an industry-wide change, affecting all data vendors, to aggregate the ticks sent by its datafeed for GLOBEX markets. This means that you will receive fewer trade ticks overall. This change is scheduled to take place on 12/18/2005.

Currently, for example, a five lot order matched with five one lot orders will result in five trade ticks being disseminated, each tick having a volume of one contract. Starting on 12/18/2005, a five lot order matched with five one lot orders will result in two trade ticks being disseminated, the first of these
ticks with a volume of one contract and the second of these ticks with a volume of four contracts. This is known as tick aggregation.


Please be aware that if you are using tick bars, this will result in a reduction of the number of bars that you will receive for CME GLOBEX markets starting on
12/18/2005. If you are using any time-based bars such as intraday or daily, weekly, or monthly bars, the number of bars that you receive should not change.
 
Thanks Local C.

I would imagine this will be a major pain for those who use Time & Sales data for automated systems as they will be unable to get a feel for the real flow of size and true liquidity. Am I right?

ST
 
I guess it depends on the type of aggregation and types of "clustering" performed.

Additionally as described the amount of bandwidth should be significantly larger in bid/ask data versus filled orders. So what gives?
 
Quote from local_crusher:

Recently, the message traffic for market data has been rapidly increasing. In an effort to reduce the amount of message traffic, the CME plans to make an industry-wide change, affecting all data vendors, to aggregate the ticks sent by its datafeed for GLOBEX markets. This means that you will receive fewer trade ticks overall. This change is scheduled to take place on 12/18/2005.

Currently, for example, a five lot order matched with five one lot orders will result in five trade ticks being disseminated, each tick having a volume of one contract. Starting on 12/18/2005, a five lot order matched with five one lot orders will result in two trade ticks being disseminated, the first of these
ticks with a volume of one contract and the second of these ticks with a volume of four contracts. This is known as tick aggregation.


Please be aware that if you are using tick bars, this will result in a reduction of the number of bars that you will receive for CME GLOBEX markets starting on
12/18/2005. If you are using any time-based bars such as intraday or daily, weekly, or monthly bars, the number of bars that you receive should not change.
More...

Pretty nice of them to promote new technology and improvements on one end while taking away at the other.

Look for fees to go up in 2006.

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Quote from StreamlineTrade:

Thanks Local C.

I would imagine this will be a major pain for those who use Time & Sales data for automated systems as they will be unable to get a feel for the real flow of size and true liquidity. Am I right?

ST
More...

No, it will only impact systems that examines the specific fill sequence to obtain some kind of information, the actually flow of size and liquidity will still be the same.
 
Quote from rufus_4000:

No, it will only impact systems that examines the specific fill sequence to obtain some kind of information, the actually flow of size and liquidity will still be the same.
More...

So, if your setup uses tick charts your screwed:D .
 
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