Will the Globex Data Changes Impact My Tick Charts?

[kevinmclark]

Will the CME's New Trade (M6) Message Aggregation Model
Effective Sunday, December 18, 2005, adversely impact my tick charts? Please see the attached link for more info:

http://www.cme.com/trading/get/dev/marketdata2848.html

[JayF]

I spoke with our engineers on this, and it should have no impact to our end users.

[JayF]

We dug further into this, and there may be some notice seen at the tick chart level. It used to be that CME had a feed that aggregated trades at the same price like the new Trade (M6) Message Aggregation Model, and another feed that broke everything out individually. Earlier in the year, we switched to the latter. CME later in the year dropped the aggregate feed, so there has been only one feed across all data vendors and brokers.

Now, due to sheer increases seen in market activity, the CME has gone back to aggregating trades again. There is the possibility that it may be noticed that the CME feed behaves differently with the new aggregation in place if digging down into the trades at the tick level.

[kevinmclark]

Will these changes impact volume charts?

[JayF]

No, it will have no noticable impact to volume charts as the volume is disseminated together when a new trade message comes across. eSignal will count this toward the volume bar, and if the amount is greater than the volume bar limit, then it will break out this volume to a new bar.

An example of how the trades are combined can be seen on Page 4 of the CME M6 Aggregation Client Impact Document.

[kevinmclark]

Thanks!

[Momentum]

I am pleased that volume charts are unaffected.

However,tick charts musr be affected if the implementation is the same as the description posted.

What have other users noticed?

Are our back testing models based upon tick charts now invalid?

It seems to me that this major change has gone relatively unoticed.

[ScottJ]

Hi Momentum,

It would reason that tick charts would be impacted if like price trades are aggregated. On the plus side, since this is being done at the Exchange level, it will impact all vendors the same way so at least it's a level playing field.

Thanks.