CME Tick change query

[Dave180]

Having paid my dues for a while now, it would be nice to know how, if we were already getting a tick for each "transaction", ie no bundling, there can now be more.

Seems to make a mockery of any previous analysis based on transaction size - like big lot filters.

Thanks

[ScottJ]

We (eSignal) have not been netting but there's clearly more ticks being sent from the CME as of Sunday. As far as I know, it's been a level playing field for all vendors who've been on CME's Fix/Fast feed for the past few months.

Thanks.

[Dave180]

Thanks, I wasn't thinking eSignal were bundling; the question still stands and I'm asking you to inquire of CME on my behalf.

[ScottJ]

If you feel that the CME has previously stated that no netting was occurring, I think it's best you present that information directly to the CME. Having us act as an intermediary won't likely yield a satisfactory response for you.

CME makes their various departments widely available.

Thanks and I hope you get the information you're looking for.

[Dave180]

I don't think I'm alone in believing that a 100 lot tick (September) was a 100 lot trade?

If not, please tell me what was the point of the "Trade Volume Min:" filter in the Time and Sales display? Your engineers put it there, presumably they knew what it did.


I ask you to ask what the definition of a tick was, and what it is now, please.

[ScottJ]

We cover over all sorts of trading instruments across 100+ exchanges. The data from each source can and will vary. Please direct your questions to the CME.

Thanks.

[Dave180]

Dear Scott,

Please define the function of the "Trade Volume Min" filter in eSignal.

Specifically, does it acurately filter trades by volume for CME instruments, or not.

Thank you.

[ScottJ]

Based on the "trade or tick size" sent by the exchange, the filter uses that data to display the desired criteria. Is it accurate? As far as we know, it accurately uses the data being provided by the CME to utilize the filter. As I indicated in my initial reply, it's unlikely you'll get the satisfactory answer you're looking for without contacting the CME directly.

Thanks.