CME Changes to the Transaction Reporting Process

[bakrob99 11]

I received an email yesterday which alerted me to the fact that the CME has changed the way they report transactions. I am told that previoulsy, some transaction were lumped together when reported resulting in tick bar values which were inaccurate. They have now corrected this. The point of the email was:

 

If you use tick charts to trade e-mini S&Ps, you may have noticed an increase in the speed with which your charting software produces tick bars on Monday and today from the speed that it produced the same size tick bars on Friday.

 

As of Sunday, October 4th, the CME Group enhanced the reporting of trades to provide more information at greater speed. The effect of this upgrade is to produce more ticks over the same price action than were produced before.

 

You can get more information at http://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf

[bakrob99 11]

I set up a Chart with 10,000 tick bars and compared the last several weeks with the 2 days this week. There is no doubt that these changes are significant. You can see about twice the number of bars for the day, compared to the prior days.

[LS_Chad 10]

I created a Q&A on this if interested: Investor/RT - Answers  (LinnSoft.com)

[daedalus 10]

Is it only on the ES?

 

I'm not noticing the same stuff on the NQ...

 

*edit*... now i maybe am.... I just took a look at the 10000 tick bar on the nq and there is a noticeable wider day starting on the 5th...

[bakrob99 11]

I believe that it applies to all Stock Index futures but not commodities (Metals, Energy) I am not sure about Futures like Currency futures on the CME. I will have to do some more homework on these.

[insideday 10]

I am not sure about Futures like Currency futures on the CME. I will have to do some more homework on these.

 

They changed the behavior for the Currency futures some weeks ago. I wondered some weeks ago why the T/S shows 1 lot trades on over 97 % compared to the days before.

[Tams 20]

see marketdelta analysis in October 7th, 2009 issue:

http://blog.marketdelta.com/

[daedalus 10]

As far as I can tell this 2.5 rule is bullshit.

 

I just did my own analysis, average bars per day on different tick charts prior to the 5th, and post 5th... and if you do a standard (your tick timeframe) X 2.5 = (your new tick timeframe) you won't be trading the same "timeframe" as before if you get my meaning.

 

By their standards, a 233T should be a 582T. (233X2.5).

 

What I found was that a 233T prior to the 5th is closest to a 400T afterwards. Which means the actual conversion is closer to 1.5X's to 1.75X's as much data, but certainly not 2.5x's as much.

 

 

 

I've attached a barcounter.eld for tradestation users to do their own conversions.

 

Cheers!

BARCOUNTER.ELD

[jeffersondaarcy 10]

Here is the total trades made per day for the last few weeks. The first giant spike is the Monday the CME changes took place.

[MidKnight 12]

Yet more info from people I highly respect in the trading community.

 

CME Unbundling - NeoTicker Forums

[suriNotes 11]

Here is the current (Post Oct. 4th) Avg. 3-day Tick Stats.

Also see one of my prior test for @ES.D and @NQ.D (in Excel).

 

I think it is approximately twice the number of bars in @ES.D and @NQ.D

after Oct. 4th.

 

Regards,

Suri

 

 

[dede 10]

The new feed makes my tick charts much more choppy. The difference is a factor of about 2.5. (2.5 more data is being sent since breaking up large orders in their data feed). I scalp the YM with 89 tick charts, I found that multipling 89 times the 2.5 factor give me a 223 tick chart which "smooths" out the chart -- bringing me back to where it used to be, so to speak. Those of you who use tick charts might want to try this and see how it works out for you.

[LS_Chad 10]

The post I made earlier was based on very limited data. After reviewing a full week after the change, there were 820k trades during the day sessions of the past week (on the ES) versus 1.55m the previous week. So based on this information, the multiplier should be 1.89. However, the volume was about 30% lighter this week than it was last week. Therefore, the multiplier should be increased by 30% as well bring it back to 2.46 which is very close to my original number (2.5), so I'll stick with that number for now.

 

Some recommended conversions for tickbar periodicities below:

 

233t becomes 582t

377t becomes 942t

 

However, I believe numbers like 233 and 377 were chosen because they are numbers in the Fibonacci sequence. So if that is more important than maintaining the same number of bars as before, it might make more sense to change 233 to 610....and 377 to 987.

Edited October 12, 2009 by LS_Chad

[LS_Chad 10]

One correction to my post above, the 820k trades were for the week beginning Sept 28th (week before CME change). The 1.55m are for the week beginning Oct 5th (week after the change). I reported those backwards above. And these were for the day session only (ignoring overnight trades).

[Deucalion 10]

Thanks Bakrob and Daedulous. I had taken a snapshot of 5days of data, 3days before and 2 day after and saw the same results as mentioned. Unfortunately right after I sent that file to my mentor to comment upon, I deleted the email and have no attachment to accompany with this post.

 

Transferring to a 2.5x factor worked for a few days and not everyday on my tick charts. Which could be attributed to both lack of testing and/or low volume days or both. For now 2.5x remains the de facto change, but transferring to range bars has helped. They can hide volume, ticks, T&S and trade size but can't hide price action itself..can they?

 

I can't seem to notice the difference on the currency futures but that could be lack of observation as well.

 

And of course Barry Taylor at emini watch.com has a take on it as well (CME Says Better, Faster, Cheaper – I Don’t Think So). And this is a view which is entirely logical and cogent.

 

BTW - my mentor has moved to 2.5x on the ES.

[daedalus 10]

Deucalion - as far as I know the change had no impact on currency futures.