This does not seem to be well known information. I can't find this information anywhere on esignals site and is not easy to find on the cme site either. But basically if you are using tick charts with cme globex markets you will have to make some adjustments because they are no longer releasing every tick. They are aggregating them similar to how IB releases its data. http://www.cme.com/trading/get/sup/glxnews2825.html 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. The subsequent M6 messages are aggregated until an M6 is triggered for dissemination by: Change of order; Change of price; or, 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. The M6 Message Aggregation model is currently available for testing in the CME certification environment. As explained in the CME Market Data Developer's Guide, page 29, the M6 message should be used to obtain volume information only; the M0 (zero) message should be used to discover last best price. For more information on the M6 Message Aggregation model, please see the CME M6 Message Aggregation Client Impact Assessment
Hi cornhole, see http://www.elitetrader.com/vb/showthread.php?threadid=60786 What do you think is the real reason ?
Well as the voume has gone up and messaging because of all the automated systems the trading exhcange system has become more unstable. A lot of the exchanges are finding huge increases in the messaging compared to actual fills. Many of the exchanges have introduced fees to those that have a high message rate to fill rate in hopes of cutting down on this because the systems have been bogging down. With all these firms running automated programs this messaging was growing exponentially. I thought it was only a matter of time until they did something since the messaging volume has been rapidly increasing over time making the system unstable during busy times in the market. SO I think they are trying to do what they can before they really run into problems.
Sorry I cannot agree here. I analyzed Globex Level I data and >70% of all messages are bid/ask changes. Aggregating the trades will not decrease traffic significantly.
You are probably right, in that most of the traffic is b/a. However, by doing this you probably get the actual trade data FASTER than you would otherwise. Not by much, but something. What fantastic information do you think you are going to be missing here?