CME Tick Data Change Oct 5th 2009

[chickenfarmerwi]

As of Monday Oct, 5th the CME "unbundled" tick data and created a mess with the tick charts. My guess is that there is a least twice as much data flowing out of the ES contract. Some say it is by a factor of 2.5 - some say 2.68- so a 233 tick chart should be changed to 583 - 624 depending on what you think the data change is, to acheive the same looking chart as prior to Monday Oct, 5th 2009. I also trade the Nq contract and the Ym contract and don't think that data has changed much if at all. What has Ninja seen as to the data flow and is there a mathematical number such as 2.5 that can be applied to the ES and the other contracts? Thanks for the help on this.

Side note: I believe the reason for this change is that now the big block trades (that got unbundled) are harder for the retail crowd to track.--

[NinjaTrader_Ray]

Originally Posted by chickenfarmerwi

As of Monday Oct, 5th the CME "unbundled" tick data and created a mess with the tick charts. My guess is that there is a least twice as much data flowing out of the ES contract. Some say it is by a factor of 2.5 - some say 2.68- so a 233 tick chart should be changed to 583 - 624 depending on what you think the data change is, to acheive the same looking chart as prior to Monday Oct, 5th 2009. I also trade the Nq contract and the Ym contract and don't think that data has changed much if at all. What has Ninja seen as to the data flow and is there a mathematical number such as 2.5 that can be applied to the ES and the other contracts? Thanks for the help on this.

Side note: I believe the reason for this change is that now the big block trades (that got unbundled) are harder for the retail crowd to track.--

At this time, we have not run any analysis on this.

[chickenfarmerwi]

Hi Ray,
Thanks for the quick response. The analysis on the tick data must get done. I suspect most people in the trading community didn’t even know this happened; I didn’t until after Monday and Tuesday, 2 of the worst trading days I had had in months! This tick data change changes everything that is applied to the chart, I am astounded that I am the first to post something about this on this forum. Can you please tell me when this analysis will get done? Check the data flow from the ES before and after Oct 5th- it is not even close to the same! Thanks-

[NinjaTrader_Bertrand]

Thanks for your input, you're correct, had to adjust up also this week, except on the volume charts...

[Alfred]

In the NQ...looking at tick data for the 3 days previous to the CME unbundle change on Oct 5 vs. the 3 days after and averaging.... there appears to be around a 15% increase in ticks per day now.

This could perhaps be an minor advantage in definition of tick chart patterns at turns.

[devshell]

Has there been any news as to whether they will go back to showing intent of orders rather than fill? I.e. stop breaking large orders into the individual fills in queue?

[NinjaTrader_Brett]

Hello,

No news on our side on this topic other then we display the data as received from technology provider you use.

-Brett

[AndreiFX]

Hello
Does anyone have an official cme tick reporting rules? At CME.com i cant find it
Thanks.

[NinjaTrader_Bertrand]

I'm not aware of a current official doc listed from the CME, however if you Google CME Equity Future enhancements there should be still references found to a published PDF from that time as changes were introduced.