Tag50 - unique id of each system/trader placing trades on the CME venues. Can outside people buy this data? Is it legal? If not - how likely that this data is being leaked? Opinions, rumours, facts..
You can't buy it and I doubt it's leaked because it wouldn't be very useful. It sounds useful in theory but they are generally pretty obfuscated. Even if they weren't I probably wouldn't bother.
Obfuscated how though? I'd imagine it's something that changes from session to session - otherwise one could fingerprint these unique id's over time and correlate them with major players.
No i960 they do not change. That's the point. At least that is my experience and the cme docs (stressing use of own and unique id). It doesn't mean that people are not trying to play this and manipulate the numbers within firm but that was not the subject of this thread.
There are many reasons why it would be useless data. So useless that if someone gave it to me for free I wouldn't even look at it. I'll briefly give two. 1) a very large percentage of orders are going to be from HFT shops. But these places will be running hundreds of different tag50s with names like 'xfa32'. So many of them that they would be hard to filter out. Every firm is in different programs and has different fee structures so - ignoring the other barrier of speed advantage - if you took every trade I did and put it on your books you would be losing over $1M per week. Ouch. 2) few strategies are stand alone. 'Xfa32' could be hedging with 'lle21' on ICE or through a broker into the physical market or with equities. There are too many options. Sure, you might be able to follow a single TT user if you also got both Tag50s transmitted on the fills. But, by then what's the point? It's not much different then finding a guy with a track record and hiring him. Another aside. Procuring, indexing, and storing enough of this data to even start to analyze it and then building the tools to do so would cost over $1m in software development and hardware. And if you are savvy enough to solve all the problems of dealing with that data you'd be more than capable of dreaming up enough trading strategies on your own to keep plenty busy.
Well I don't mean using the data to steal trading strategies - nothing like that. I mean identifying large orders/big players on certain instruments and keeping track of that as a form of a future tip off in either the instrument it was found in or other instruments. Just another vector basically. Point taken though about hedges and inter-exchange stuff - that's an important point. That being said I bet you groups are already dredging through this data, but in search of movements not methods.
Garachen that was NOT my question. Nobody offers you to buy anything nor I am looking to buy this. My concern that if I run an algorithm to fill large orders (to conceal the size) this will be identified by hft operators and run down..
Yeah that wouldn't be rocket science to dynamically build an accumulation/distribution table keyed by unique ID if said ID never changes, even across multiple price levels, volume (which can be quickly aggregated), and time. It could even be flagged based on passive or aggressive fills.
I give up. I must thank you and b0tpro for showing me that this forum has devolved into an absolute waste of time. I'll check back next year. The answers to your questions are: no, no, not at all. I hope that's clear enough.
One wonders how much these guys are running to think a hedge fund would waste their time tracking down their strategy and front running it. A little humility regarding an individual trader's impact on the world would go a log way towards dispelling this kind of thing.