What happened to the tick data?

[stevevogel]

3 tick bars for others 1 bar

issue is with all tick bar sizes. I have 2500 tick bars and have three times the number of bars as the other traders I talk with. They use Amp data and I use Kinetick. Issue started Monday 5/4/15.

Not sure if I have the problem or if they have the problem.

[Pilenas]

One of the reasons might be not the issues on data providers' side, but protocol changes CME is rolling out. They are switching to MPD 3.0 and some data providers, such as CQG, have switched to the new protocol over the weekend. According to CME (check the links below) all providers will need to switch to a new protocol by September, 2015.

Here's a quote from one trader:
"I talked with a Market Data Quality guy at the CME today (I think he thought I was important!), and the disparity so far seems to be related to the fact that the CME has been planning to move to a different, more lean & reliable data comm protocol. Since 1992 or so financial markets have been using "FIX/FAST" as the industry standard protocol, but CME is migrating to a new standard "MDE 3.0". In talking with CQG today, they just switched to the new protocol this weekend. There was no overall outcry (no pun intended) among CQG customers, but I'm guessing the vast majority use time-based charts and the effects of the new protocol didn't arise there"

http://www.onixs.biz/cme-mdp-3-0-market-data-handler.html

http://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+Globex+Legacy+Market+Data+to+MDP+3.0+Market+Data+Conversion

http://www.cmegroup.com/globex/developing-to-cme-globex/cme-globex-enhancements.html#cmeGlobexEnhancements1

[billko1977]

One of the reasons might be not the issues on data providers' side, but protocol changes CME is rolling out. They are switching to MPD 3.0 and some data providers, such as CQG, have switched to the new protocol over the weekend. According to CME (check the links below) all providers will need to switch to a new protocol by September, 2015.

Here's a quote from one trader:
"I talked with a Market Data Quality guy at the CME today (I think he thought I was important!), and the disparity so far seems to be related to the fact that the CME has been planning to move to a different, more lean & reliable data comm protocol. Since 1992 or so financial markets have been using "FIX/FAST" as the industry standard protocol, but CME is migrating to a new standard "MDE 3.0". In talking with CQG today, they just switched to the new protocol this weekend. There was no overall outcry (no pun intended) among CQG customers, but I'm guessing the vast majority use time-based charts and the effects of the new protocol didn't arise there"

http://www.onixs.biz/cme-mdp-3-0-market-data-handler.html

http://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+Globex+Legacy+Market+Data+to+MDP+3.0+Market+Data+Conversion

http://www.cmegroup.com/globex/devel...xEnhancements1

My God. If this is the cause then the price action i have come to learn and know inside and out is no longer. I just dont understand how there can be over double the volume in each bar but not have double the ticks. It just doesnt make sense. Its equal to halving the speed at which price moves but having twice the volume in each bar. It doesnt even look like the same market...

[Pilenas]

My God. If this is the cause then the price action i have come to learn and know inside and out is no longer. I just dont understand how there can be over double the volume in each bar but not have double the ticks. It just doesnt make sense. Its equal to halving the speed at which price moves but having twice the volume in each bar. It doesnt even look like the same market...

I'm on the same page with you. Indeed, if the above is the case, there must be more explanations given in order to adjust the strategies traders used to employ. Adding to that, most probably we'll just need to adjust and find the most similar time frame to one we're used to. I'd been using 2000 tick chart, and what I can see so far is that 500 tick chart is quite similar, but still has way to much of overlap. I guess we need to wait for the official statement from Ninja and data providers.

[billko1977]

I'm on the same page with you. Indeed, if the above is the case, there must be more explanations given in order to adjust the strategies traders used to employ. Adding to that, most probably we'll just need to adjust and find the most similar time frame to one we're used to. I'd been using 2000 tick chart, and what I can see so far is that 500 tick chart is quite similar, but still has way to much of overlap. I guess we need to wait for the official statement from Ninja and data providers.

Yes, i tried that. Im used to 512 tick and reduced to 175 tick but theres as much volume in the 175 tick as the 512 used to be so the feel is completely different. I mean theres no way the volume reported is the same but the ticks are less than half. There is some sort of discrepency somewhere.

[bdahla]

If this is the case it's going to change everything because as you both have mentioned, the charts we currently know will be completely changed. My guess is that some of the big players are behind this change because they want to be able to hide their orders so that they don't show up as part of the normal price action and allow other traders to see what they are doing. Complete BS

[billko1977]

If this is the case it's going to change everything because as you both have mentioned, the charts we currently know will be completely changed. My guess is that some of the big players are behind this change because they want to be able to hide their orders so that they don't show up as part of the normal price action and allow other traders to see what they are doing. Complete BS

You were absolutely right and its on purpose.

[billko1977]

So basically were $%#$$@!$. There is a thread about it over at BigMikes https://www.bigmiketrading.com/broke...-protocol.html

Basically CME is "bundling" trades together so what used to appear as separate transactions are now being added together. . They know about it and as of yet have done nothing to fix it. As soon as each data provider moves to the new system they will all be the same way.

Here is another link that explains a little better whats going on. http://forums.dtn.com/index.cfm?page=topic&topicID=3999

Its by design and i guarantee you not for our benefit.

[sledge]

If this is the case it's going to change everything because as you both have mentioned, the charts we currently know will be completely changed. My guess is that some of the big players are behind this change because they want to be able to hide their orders so that they don't show up as part of the normal price action and allow other traders to see what they are doing. Complete BS

Appears to be a reversal from Oct 2009.

http://www.marketdelta.com/blog/2009/10/news/cme-equity-futures-enhancement/

http://www.ninjatrader.com/support/forum/showthread.php?t=21299

Maybe down to the micro second will unbundle? And that's the part that's missing currently? (Just a guess)

[billko1977]

Appears to be a reversal from Oct 2009.

http://www.marketdelta.com/blog/2009/10/news/cme-equity-futures-enhancement/

http://www.ninjatrader.com/support/forum/showthread.php?t=21299

Maybe down to the micro second will unbundle? And that's the part that's missing currently? (Just a guess)

IQFeed has been working on trying to unbundle the data but has not been successful. CME knows about it and since they have made no effort to fix it then one must assume its by design. http://forums.dtn.com/index.cfm?page=topic&topicID=3999

[bdahla]

This is absolute horse****. Now a 1000 lot order is going to have the same weight on a chart as someone trading 1 contract. All so that the people with the most money can get away with taking as much money as possible from the small guys. Unbef'nlievable.

[superhans]

This is absolute horse****. Now a 1000 lot order is going to have the same weight on a chart as someone trading 1 contract. All so that the people with the most money can get away with taking as much money as possible from the small guys. Unbef'nlievable.

Hi bhahla, I use tick data just for pure mechanical trading and have been able to duplicate a previous 3000 tick chart with 1036 ticks. What annoys me is not being informed of the changes, I was ****ing around all day wondering why my trade set ups were not triggering.

[koganam]

Hi bhahla, I use tick data just for pure mechanical trading and have been able to duplicate a previous 3000 tick chart with 1036 ticks. What annoys me is not being informed of the changes, I was ****ing around all day wondering why my trade set ups were not triggering.

Sounds like you have adapted. Great work there.

Little wonder that my MarketExhaustion signals seem to have gone into limbo. Time to go back to the drawing board I guess. Bah!

Oh well, adapt or perish. As for me, I will just put my nose to the wheel and adapt. Here comes another round of testing and tweaking. ˇAy, caramba!

[NinjaTrader_Brandon]

Thanks for everyone's post and links with more information on this.

It has been confirmed that this is a change that is being made on the CME end and all data provider must make this switch by September. If a provider does not make this switch you will not be able to trade after September.

The data is not missing in this new format however it is bundled together to create create what the CME sees as more efficient.
For example, currently if a 3 lot order is filled against 3 one lot resting orders 3 filled messages get sent by the exchange. With the new MDAPI one message will be sent as a 3 lot with the 3 one lot orders against it in the message.

We understand that it can be frustrating learning this new format however this is going to be the change going forward with all data providers. For information on when this change will occur with other data provider you would need to contact them directly.

This link was previously posted in this forum however you can read through this for more information on these changes from the CME's website.

http://www.cmegroup.com/confluence/display/EPICSANDBOX/CME+Globex+Legacy+Market+Data+to+MDP+3.0+Market+Data+Conversion

[superhans]

koganam, the volume for me isn't of importance but the way the bar looks and populates is, I was furious at first as I'm sure many are but it actually hasn't affected my trading method, thankfully. but to have your style swiped away from you without warning is criminal.
I see how the bars on the 800 tick chart has changed from ranging between 2K and 3K to average trades of 4/5/6K.
For the 1036 I matched bar for bar what the unaffected TOS 3000 tick chart was showing, not perfect but its good enough, all platforms will change by September as I understand it. good luck.