CQG Tick Charts

[jhowinvest]

My tick charts on the ES appear to be producing more bars than normal this morning. I know CQG recently changed how the ticks are sent so I had to lower the tick settings. Are they back to the old way again meaning I need to up the tick settings? Anyone else seeing their charts looking different this morning?

[NinjaTrader_ChelseaB]

Hello jhowinvest,

Are you referring to the 'Filter bad ticks' option located in Tools -> Options... -> Data?

The change on the CME should result in less ticks being received. Do you have a screenshot chart of the tick data during a certain time period I may use to compare with another data source?

[sunisshining]

Yes, I noted the same thing today. Seems we are back to the old tick processing (i.e. as it was before 4th May). I wonder if CQG lost users by moving to the new protocol too early? I think most others have not made the jump yet...

[jhowinvest]

Here is a 500 tick from this morning. There are many more bars during the first 60-90 minutes after market open this morning compared to last week and the volume is similar. Thank you for your help.

[NinjaTrader_ChelseaB]

Hello jhowinvest,

Thank you for reporting this.

We are currently looking into the issue with CQG to find out more information.

[thommytrader]

Esignal switched over to the new protocol overnight, once again without telling anyone, and now both Esignal and Ninja are anybody's guess as to what Tick chart to use...

Getting really frustrated with this data manipulation with absolutely no advanced warning, both from CQG and Esignal

It appears that the old ticks, which were cut in a third, may now actually be only cut in a half...
I used to use 555T, then 185T on CQG and 555T on Esignal..
now 277T approximates my old 555t on both....

GRRRRRRRR

[NinjaTrader_ChelseaB]

Hello,

We have received word back from CQG.

This weekend CQG implemented a newer version of MDP 3.0 which applies to CME, NYMEX, and COMEX. This version is MDP 3.0 and not fix/fast.

CQG has unbundled (increased precision and granularity to the filled trade sizes) to the extent possible.

Basically this is true for outright fills. The exchange does not provide details for implied fills, so these are still ‘bundled’.

This was something that the CME group outlined in their changes, but had not yet been implemented by CQG. This may have also been implemented by Rithmic at this time.

[jhowinvest]

Is this the final change? Will the tick charts be changed any more by CQG in the near future or can we count on the settings we use today to stay the same from now on?

[patpat]

Yes I noticed it too. I switched to a 700 tick chart after CQG switched to the new Protocol on May 3rd or 4th. This morning I had way too many candles on my chart. This is hard to keep track of.

[thommytrader]

I wonder if these data companies know we use this data for TRADING? Maybe they think we just watch it for entertainment purposes, like Netflix or something?

To make drastic changes overnight without informing any of the users smacks of ineptitude, or just sheer disregard for their subscribers.

I would certainly like to know what the TICK change actually is, is it halved, quartered, a third?

Is it going to happen again on another Monday and waste another day to week of trying to figure it out?

Anybody think that's too much to ask?

[NinjaTrader_ChelseaB]

Hello All,

While NinjaTrader does not have any way of knowing what changes are going to be made at CQG, I do encourage you to contact CQG and ask these questions.

[jhowinvest]

I emailed CQG support and I will post any information I receive.

[jhowinvest]

Here is what CQG support said

"Hello, Please contact Ninja Trader support with your inquiry. Thank you"

Disappointing. I don't understand why we can't get clarity on this. As many others have said we use this data for our livelihood and changes like this require us to make changes to our business. I have no problem with changes to my business but I deserve to know what changes are coming and when.

[NinjaTrader_ChelseaB]

Hello jhowinvest,

What was the question you asked them?

[jhowinvest]

My email to them is in quotes below.

"I get data for CME futures from CQG through NinjaTrader. Can you help me understand what is changing with the way tick data is sent? I noticed a change in May and then noticed another change this morning in the way tick charts are printing. There seems to be fewer ticks coming through than last week. Are the changes finished or will more changes be made in the coming weeks or months? Thank you."