Increase in amount of ticks on CME emini's

[ScottJ]

As of Sunday 10/4, we are seeing a signifcant increase in the # of ticks being sent by the CME on contracts like ES. There was a change announced by the CME for last Sunday but the behavior change doesn't match the description in that announcement.

As an example, we compared a period of time from 9/29 vs 10/6 on ES #F. The overall volumes were within 10-20% of each other (indicating fairly similiar activity) but the amount of ticks on 10/6 was more than double what we saw on 9/29. We are in contact with the CME and will post further information this week.

This is mostly a heads-up for those that look closely at tick counts or use tick bars (200T for ex) and follow contracts like the e-mini. The aggregrate volumes match the CME's site so we don't believe there's any overall issue. It just appears that where they were combining trades in the past, they are now sending more granual precision.

More to come.

Thanks.

[ScottJ]

We've talked to the CME and received further clarification on that notice of increased traffic. While the overall traffic from the CME may increase by around 20%, it's quite possible that on the heaviest traded contracts, far bigger increases will be seen. That's what we're seeing on the emini's. Our systems are handling the additional ticks w/o issue.

Thanks.