My CME Implied message traffic rant

Discussion in 'Trading' started by ArbWest, Aug 20, 2007.

  1. ArbWest


    Implied message traffic has become a huge problem for CME Algorithmic traders because the market data loads have increased to the point where the latency to process the additional implied messaging negatively effects performance of the entire Globex system. For example, the messaging has recently quadrupled in the CME Eurodollar futures in the past several months.

    NYMEX Products on the GLOBEX platform are also affected, due to the fact that the implied functionality extends back the full 48 months for Crude futures. The network is ALWAYS bottlenecked. By delivering the implied messages instead of allowing the user to calculate the implied prices at their site, The MERC has imposed an undue constraint that will only get expontially worse over time, due to the nature of the implied process. Yet they continue to list new implieds on an ongoing basis.

    Is anybody else frustrated with this new implied messaging problem?
  2. The NYMEX implieds are a big load, but at least they stop the implied calcs at 2 generations. ICE has an infinate loop in their engine which generates more prices / messages. CME will have to expand their engine at some point to keep up.

    This is a growing issue and expect the exchanges to push alot of this work onto the ISV's. The exchange will match more implied piices but show less while relying on isv's to caclulate and show the extended implied prices.
  3. ArbWest


    I don't even think this issue is on the CME agenda at this point. Have you heard anything different?