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Is the CME changing tick charts again?

Getting a few emails about the notice below. On the face of it, it's a worry. The CME look like they're changing the Global/Emini data feeds - again.

Remember, they've done this before: http://emini-watch.com/cme-says-better-faster-cheaper-i-dont-think-so/516/

And it kind of looks like they're going back to the pre-4Oct09 data setup. Last time everything worked out fine and the 'Better' indicators continued to be able to identify Professional and Amateur activity.

We're going to have to see how this affects tick charts come October 2015.

#cme   #globex   #emini  
4
Mark L's profile photoBarry Taylor's profile photoC Tho's profile photoChris Shaw's profile photo
25 comments
 
So you may have to change from 500/1500/4500 charts back to 233/and so on...? Interesting. I guess it keeps us on our toes. Be like water as Bruce Lee would say. Thanks for passing this along. Cheers!
 
The part of trader's cynicism in me, asks the question "why are they doing that now..."  "same volume less detail" is a funny sales pitch ;).
C Tho
 
Week of May 4 to 8, every day showed very few ticks with normal volume (CQG).  If this doesn't start until Oct., what happened this week?
 
C Tho.....I noted the same with CQG. fewer ticks with the volume. 
C Tho
 
Thanks Todd.  I meant fewer BARS being printed, meaning less tick info.  You clearly knew what I meant.  Do you have any idea how to find out what is happening and if it will continue?  It was a drastic change, as you saw.
 
C Tho. yup....fewer bars.   Did not trade it the last few day but watched.  I was ready too but I felt something was going on but the VOL seemed decent.  Unless someone can point something I missed there were NO set ups I would take on Friday......No ideas.
C Tho
 
I emailed CQG and got the following.  It appears the conversion has already been made.

"Over that weekend (May 4-8), CME on Globex migrated from Fix/FAST to MDP 3.0---what this means is although volume is volume, the way CME is reporting it has changed and the number of ticks because of this new format will be less. For example:
OLD WAY Volume=20
14, 3, 2, 1
NEW WAY Volume=20
14, 6
 
Old way 4 tick changes for 20 reported vol and new way only 2."

So I'm changing my lowest TF 500 tick to 250 unless someone tells me that's wrong.
C Tho
 
We're all in the same boat here.  What's the remedy?
 
Any more insight on this would be greatly appreciated.  I lowered my tick bar charts by half....seemed OK.  VOL was fair today but I noticed some very, very low 1 minute VOL data in the morning.  I am not that techy,  just a trader trying to get the clues right every morning.  Thank You.
 
For what its worth..I use CQG/NinjaTrader. Ive changed my tick settings by 1/2. I use two workspaces. Higher time frame Ive set to 20250 and 10125. Lower time frame Ive set to 2250, 750 ans 250. Been trading with it and so far seems to be a good adjustment for me. I based the values off my higher time frame. It seemed that my 40500 chart was seeing about 1/2 the bars it normally used to print. No real science behind it other than that.
 
Thanks for the follow up Chris Shaw.  I have been using the same size tick bar charts with out issues.  Looking forward to hear more responses.
 
+C Tho +Todd Nelson +Chris Shaw, I might be able to help with a recommended chart setting if I have a couple of data points.

Could you provide the total volume and number of ticks (trades) you see on your Emini (ES) charts during the day session for each of the last few days trading?

With that data we can compare CQG with TradeStation and see how the average trade size has changed with the new data feed. For example, on Tuesday 26 May, TradeStation shows (day session only) 1,356,364 contracts traded and 419,228 trades = 3.235 contracts per trade. The CQG number should be larger and the ratio will give an indication of how to adjust your tick charts.

Thank you for your help.
C Tho
 
Thanks. I guess I have to ask the dumbest of questions: what is the correct way to determine the accurate number of trades per day? Adding up the ticks on my highest TF tick chart seems very inexact.
 
+C Tho In TradeStation it's reported in the data feed for a daily bar. Or you can put on a 1 tick chart with a bar counter that re-sets at the beginning of the day.
C Tho
 
I'm asking the NT forum about this.  So far they don't know what I'm talking about.
 
Dwight P. was able to get me a tick count for Tuesday's trade. Looks like the CQG data is showing an average trade size of 10.2 contracts, compared to TradeStation's 3.2 contracts.

So, looks like a factor of 3.1 adjustment is needed for tick charts. Which means instead of 500, 1500 and 4500 tick chart setup for ES, you might use 150, 450 and 1350.

BTW, this discussion of the CME change is very good:
https://www.bigmiketrading.com/brokers-data-feeds/35672-mdp-3-0-cme-migrating-new-data-comm-protocol.html

And this issue will be ongoing as different data providers decided how to implement (between now and October) the change - bearing in mind the "raw" trade data is still available in the new data feed.
 
Dwight P. just told me he was using a 1620/540/180 tick chart combination and it was matching recent Emini-Watch.com videos quite well.
C Tho
 
Barry, is 3.235 contracts per trade a consistent number for you?  What kind of range do you get?
 
+C Tho 3.2 is the average for the last 100 days but it moves around a fair bit. Between 3.0 and 3.5 would be the range that captures 90% of daily activity. Hope that helps.
 
Barry,
  Do you see anything wrong w using 250, 750, 2250? I use NT/CQG. Have been using this combo ever since my data feed started with the change. These settings seem to capture proper signals, etc.. 
 
+Chris Shaw Sounds good. I was recommending 150/450/1350 for ES but if you're happier holding for slightly larger moves then 250/750/2250 will work. It's difficult for me to be "definitive" as the data I use (TS) hasn't switched over yet.
Mark L
 
Barry,
Thanks for the info, will be waiting to hear more of your thoughts on this matter as the other providers switch over (I use Kinectick feed  on Ninja platform).

Also, speaking of Ninja, will you be providing updating indicators for Ninja when NT 8 is released. They are in Beta now.
 
+Mark L Thank you and yes, I'll be keeping up with all Ninja updates.
C Tho
 
What I've never understood, Barry, is what is the mathematical relationship between your average trade size, 3.235, and your tick charts, 500/1500/4500/13500/40500?  What specifically are you doing or calculating to determine these timeframes are the correct ones for you?  Thanks for the info.
 
Just wanted to throw in a Ninja update - I use 750, 2250, 10125, and 20250. These intervals have been working very well for me. Especially the 2250 chart. I like to pick off 1-3 pts off cyc sup/ res levels depending on the direction at the time. Hope everyone is fairing well w the change. Cheers.
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