Globex Tick Aggregation - WHY ?????

Discussion in 'Index Futures' started by local_crusher, Dec 19, 2005.

  1. 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?
  2. StreamlineTrade

    StreamlineTrade Guest

    Please could you explain this a bit more comprehensively? What is the end result? Things look the same from where I am sat.

  3. Quah


    OMG, my holy grail 2734 tick chart system just stopped working! :p
  4. 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.
  5. StreamlineTrade

    StreamlineTrade Guest

    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?

  6. duard


    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?
  7. 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.

    From the JL Newsletter:

    "With Intel built in, CME has momentum built in"

    Less shouting, More trading. At Chicago Mercantile Exchange, the World's largest and most diverse financial exchange, business is growing rapidly. The proof? Nearly four-and-a-half million contracts traded per day - up more than thirty-seven percent in a year. Powerful 64-bit Intel Xeon processor-based servers and Intel's vast software ecosystem support CME's staggering growth. CME can quickly accommodate rising trade volumes while adding new technology services from customers. The move to Intel-based solutions is delivering a five-fold performance increase over legacy RISC platforms. Is it time for your organization to trade up? Read about the CME's built-in advantages at
  8. Htrader

    Htrader Guest

    Thats what happens when you become a public company. You try to squeeze every possible penny.
  9. 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.
  10. K-Rock


    So, if your setup uses tick charts your screwed:D .
    #10     Dec 20, 2005