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Slightly off topic, but relevant as this will
reduce the data size and also create fewer tick bars than before. CME will
aggregate ticks for all the Globex quotes. (IB, my data provide, already
does this anyway). Traders trading CME Globex products and using nuances of the
tick bars in their trading strategy may need to pay attention.
> Notification of Upcoming CME GLOBEX Data Feed Changes
> > Recently, the message traffic for market data has been > rapidly increasing. In an effort to reduce the amount > of message traffic, the CME plans to make an > industry-wide change, affecting all data vendors, to > aggregate the ticks sent by its datafeed for GLOBEX > markets. This means that you will receive fewer trade > ticks overall. This change is scheduled to take place > on 12/18/2005. > > Currently, for example, a five lot order matched with > five one lot orders will result in five trade ticks > being disseminated, each tick having a volume of one > contract. Starting on 12/18/2005, a five lot order > matched with five one lot orders will result in two > trade ticks being disseminated, the first of these > ticks with a volume of one contract and the second of > these ticks with a volume of four contracts. This is > known as tick aggregation. > > > Please be aware that if you are using tick bars, this > will result in a reduction of the number of bars that > you will receive for CME GLOBEX markets starting on > 12/18/2005. If you are using any time-based bars such > as intraday or daily, weekly, or monthly bars, the > number of bars that you receive should not change. http://www.cme.com/trading/get/adv/16853.html Geo
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