> 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