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» CME Globex Data Aggregation
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| Author | Topic: CME Globex Data Aggregation (7 messages, Page 1 of 1) |
 jstar -Interested User- Posts: 27 Joined: Mar 8, 2005 |
Posted: Dec 19, 2005 10:04 AM
Msg. 1 of 7
With the new CME Globex data aggregation commencing on Dec. 18th, 2005, is there anyway to know within a small margin of error the reduction in the # of ticks for ER & ES.
For many years, my trading system has been based on a specific # of ticks (tick by tick data) which differs for ER & ES. Well CME is shaking up my trading world with this data aggregation and I suspect many others as well. ER seems to be less affected that ES. I'm also exploring volume charts as an alternative to tick charts. Would be happy to share my findings with others and compare research. J |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004 
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Dec 19, 2005 11:39 AM
Msg. 2 of 7
We did a little research to determine the impact of the changes CME has published. It looks like the changes announced by CME only effect their RLC feed. The ITC feed, which DTN currently uses is not effected by the change. You shouldn't see any changes to the feed from DTN.
Jay Froscheiser DTN - Trading Markets |
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jstar -Interested User- Posts: 27 Joined: Mar 8, 2005 |
Posted: Dec 19, 2005 12:21 PM
Msg. 3 of 7
Thank you for your reply Jay! After some more research this morning on ER, my original tick/bar setting was matching the volume/bar setting that had I determined to match the old tick by tick data.
Just to be clear, since I don't know what is the "RLC" or "ITC" feed, I'm using IQfeed with Quotetracker and IQfeed will be providing me "tick by tick" data on the CME Globex exchange (not aggregated data as described in the links I provided) same as the past few years? Sorry to be so specific, but this issue is of a major concern to me as well as many others. Thanks again for your reply. |
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Dec 19, 2005 12:42 PM
Msg. 4 of 7
From the official notifications we received from the exchange, this change will not impact our feeds at all. CME has 2 (maybe more) types of feeds, RLC and ITC. We take the ITC feed, while many others take the RLC feed. The RLC feed was the only one mentioned in the notice from the exchange, so we don't anticipate any changes on our side.
We are trying to contact the exchange to verify however. Jay Froscheiser DTN - Trading Markets |
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jstar -Interested User- Posts: 27 Joined: Mar 8, 2005 |
Posted: Dec 19, 2005 01:22 PM
Msg. 5 of 7
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jstar -Interested User- Posts: 27 Joined: Mar 8, 2005 |
Posted: Dec 20, 2005 10:34 PM
Msg. 6 of 7
Just following up on your verification comment
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DTN_Jay_Froscheiser -VP, Product Operations- Posts: 1746 Joined: May 3, 2004
DTN IQFeed/DTN.IQ/DTN NxCore |
Posted: Dec 20, 2005 10:40 PM
Msg. 7 of 7
Sorry for not providing an update. We did hear back from the exchange and our current ITC feed remains unchanged. You should notice no difference in the quality or speed of our feeds due to this change. However, it will be noticable on many broker feeds or other vendors who currently take the RLC feed.
Jay Froscheiser DTN - Trading Markets |
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