What happened to the tick data?

[sledge]

:So they were hiding orders with the new format in oct 2009,and now again are being accused of the same thing going back to the old format?

[NinjaTrader_Brandon]

Hello,

Some additional information on this.

At this time with NinjaTrader only CQG has confirmed the update to be compliant with the CME's new MDP 3.0 data feed. We expect all market data vendors be updating in the coming months as the absolute cust off is early fall of 2015.

Note that NinjaTrader Platform provides historical data for some data providers who do not offer historical data within NinjaTrader (Example: CQG, Rithmic). This complimentary historical data has been updated to the new MDAPI format which the CME will be requiring all data providers to switch over to.

[katana]

So it turns out we apparently CAN have our data broken out again, but NT needs to convince CQG to do it.

Posted by Sierra Chart on BMT.

“We understood the data format is different, but that does not mean that we cannot break out the
individual trades. There was a misunderstanding by management of the details of the protocol and
the fact that our server is transmitting fewer number of trades and we are not breaking out the
individual trades from the messages. This is what we meant when we were not aware of this. We
have done further research and we can break out the individual trades and we will do that.

In summary, the the raw data is not gone. The new CME simple binary encoding data feed does
provide it and is accessible.”

[billko1977]

This was posted by Sierra Charts? Makes me wonder who to believe. IQFeed which is a tier one data provider says that they have been trying for months to engineer a way to separate the ticks from the CME data feed while still maintaining accurate data and they said they have yet to figure out a way to do it.

[nkhoi]

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.

superhans, Can you find out how many ticks to match the old 2000 tick chart?, thanks.

[sledge]

superhans, Can you find out how many ticks to match the old 2000 tick chart?, thanks.

Just go back to pre-oct 2009 settings:

Appears to be a reversal from Oct 2009.

http://www.marketdelta.com/blog/2009...s-enhancement/

http://www.ninjatrader.com/support/f...ad.php?t=21299

[nkhoi]

Just go back to pre-oct 2009 settings:

Appears to be a reversal from Oct 2009.

http://www.marketdelta.com/blog/2009...s-enhancement/

http://www.ninjatrader.com/support/f...ad.php?t=21299

from links you quote the divisor was 2.5 or 2.68, so for 3000 ticks it will be 1200t - 1149t which is not the same as what he got. For 2000 ticks it will be 800t - 746t, the lowest number I tried was 905t but it looks not the same, thanks.

[stevevogel]

approx multiplier for new tick data

the multiplier is slightly different every day but a group I have been working with has used .342 and the charts seem to be very close. I am using Kinerick and it has not changed yet, so we are able to compare my chart to others using cqg. In other words, if you were using a 3000 tick chart in the past, you would use a 1026 tick chart today.

[ScottB]

I am not sure if the link below has been posted or not but the data is still definitely available - as to whether an individual data provider chooses to do the work to break it out or not is a business decision for them, not a technical decision. The link requires understanding at least the basics of the FIX protocol. Look specifically at the trade summary messages and the repeating group under them (those are the individual trades).

Prior to the change, trades were reported from the perspective of the passive liquidity and under the new protocol it is reported from the perspective of the aggressor. It is no more sinister than that.

Beyond all this is the issue of implied orders in symbols that have both an outright book and an implied book. It is a decent amount of work to merge the books but implied or not, that is real liquidity. If you have ever seen trades go off where there were no bids, you have seen implied orders at work.

The CME isn't trying to hide anything, they simply changed the protocol to be more efficient and less likely to bog down during exceptionally fast markets. If someone is using a 2000 tick chart, that is 2000 trades regardless of size, since the average trade size is easily computed, if you still want to do it that way, you can apply a conversion factor or you could switch to volume charts.

http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Market+Data+Incremental+Refresh

[NinjaTrader_Brandon]

Hello,

Please note that I have received the following information from CQG. This applies to CQG, Continuum, NinjaTrader Continuum, and how we will provide data from our historical data servers going forward.

"CQG implemented a newer version of MDP 3.0 this weekend. This applies to CME, NYMEX, and COMEX. (It is not implemented yet for CBOT.)
The version is MDP 3.0, not fix/fast.
However, we have ‘unbundled’ (given greater precision to 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’."

[ScottB]

Brandon,

Thank you for the update and for implementing this functionality.

[superhans]

So back to the old charts, I'm keeping the recently converted ones just in case there is another sudden change that I don't get any prior notice about, customer really doesn't matter apparently....although I'm sure there has been much hard work attempting to respond to our complaints we had found a work around.

[trader977]

1. What does this mean for someone who uses CQG data connection?
2. What is the difference betweeen NinjaTraderContinuum and CQG?

[NinjaTrader_Brandon]

Hello trader977,

Thanks for your reply.

1) This means that the data feed will more closely resemble the data that was previously available with with Fix that users wanted to continue to use.
2) They have the same backend. NinjaTrader Continuum is a NinjaTrader brand.

[trader977]

1) You mean when the data was changed in the beginning of May? So in the beginning of May if I reduced the ticks from let's say 1000 to 300 in order to receive similar data back then because the data was bundled, since this Monday I can return to trading with the ticks I originally traded before the change occurred. Is that right?