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»Forums Index »IQFeed Developer »IQFeed Developer Support »CME protocol
Author Topic: CME protocol (29 messages, Page 1 of 1)

aQuant
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Posts: 25
Joined: Jul 20, 2012


Posted: Apr 19, 2015 09:27 PM          Msg. 1 of 29
I would like to find out what protocol IQFeed uses to access cme's data, is it MDP3?

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Apr 20, 2015 08:17 AM          Msg. 2 of 29
We have not gone live on MDP 3.0 yet as we have been working with the exchange on some deficiencies we see in their protocol. We will communicate to customers, likely via twitter, prior to switching over.

Jay Froscheiser
Vice President, Active Trader Products

aQuant
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Posts: 25
Joined: Jul 20, 2012


Posted: Apr 21, 2015 01:37 PM          Msg. 3 of 29
Thank you. Once you switch to that protocol, do you have plans to include microsecond precision time stamps provided by CME?

DTN_Tim Walter
-DTN Guru-
Posts: 968
Joined: Apr 25, 2006


Posted: Apr 21, 2015 01:38 PM          Msg. 4 of 29
Yes, there are considerations being made for microseconds as we speak.

Tim

aQuant
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Posts: 25
Joined: Jul 20, 2012


Posted: Apr 21, 2015 01:40 PM          Msg. 5 of 29
Excellent, appreciate your efforts as always.

pnannis
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Posts: 5
Joined: May 5, 2015


Posted: May 5, 2015 09:28 AM          Msg. 6 of 29
CQG switched over to MDP 3.0 over the weekend and know their feed aggregates the ticks, notably on the ES contract. The only answer I can get is that this is by design in MDP 3.0 .. can you shed any light on this since you are migrating to this feed as well.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 5, 2015 09:32 AM          Msg. 7 of 29
We are in the process of testing MDP 3.0 and have been giving our "very candid" feedback to the CME over the past several months regarding their bundling of trades. We have some of our API customers testing on our pre-production feed over the next week or so and have additional conversations scheduled with the exchange to go over our test results.

Jay Froscheiser
Vice President, Active Trader Products

pnannis
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Posts: 5
Joined: May 5, 2015


Posted: May 5, 2015 09:41 AM          Msg. 8 of 29
Basically every customer using tick charts are screwed with their new scheme .. unless it can be turned off? Is it built in by default in MDP 3.0, i.e. without any options on the user end. The bundling seems to happen only on the CME exchange and not on CBOT, NYMEX or COMEX. Is it configured by exchange?

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 5, 2015 09:52 AM          Msg. 9 of 29
This is effectively what we have been telling the exchange for several months. The bundling isn't configurable as its inherent in the new protocol. That being said, the exchange has been listening to our concerns and the information we will garner from our testing over the next couple weeks will be used as additional ammunition to push for changes. We are doing everything we can to ensure our customers continue to receive the true tick by tick data they need to accurately analyze the market.

Jay Froscheiser
Vice President, Active Trader Products

pnannis
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Posts: 5
Joined: May 5, 2015


Posted: May 5, 2015 10:05 AM          Msg. 10 of 29
ok, this is just crazy. btw CQG only rolled CME, not the other 3 exchanges yet, but judging from the number of calls we are getting this is going to be a nightmare. Better avoid MDP 3.0 as long as possible.
Edited by pnannis on May 5, 2015 at 10:06 AM

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 5, 2015 10:16 AM          Msg. 11 of 29
All the more reason to use IQFeed! We are here as advocates for our customer and will work hard with the exchange to find a solution for our customers.

Jay Froscheiser
Vice President, Active Trader Products

pnannis
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Posts: 5
Joined: May 5, 2015


Posted: May 5, 2015 10:38 AM          Msg. 12 of 29
Damn right !

aQuant
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Joined: Jul 20, 2012


Posted: May 5, 2015 01:11 PM          Msg. 13 of 29
CME documents bundling somewhat in their documentation of MDP3, it's not detailed enough however. Could you shed light (very briefly) on how they bundle those trades in the new protocol?

aQuant
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Posts: 25
Joined: Jul 20, 2012


Posted: May 5, 2015 01:48 PM          Msg. 14 of 29
Actually, apologize to bother you. I have found the link, here it is for those interested:

http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Trade+Summary

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 5, 2015 02:16 PM          Msg. 15 of 29
As mentioned before, we don't have a set date for converting to MDP 3.0 because we continue to work with the CME Exchange and voice our concerns over what we feel are inadequacies in the protocol. We have been discussing our findings with the exchange since October 2014 and continue to have regular conversations with them regarding our findings. The exchange has pushed the required cut-over date back a couple times, but it is currently set for October 2015. This doesn't mean we will wait until October to cut over, but that is the drop dead date currently set by the exchange for the current feed protocol.

As a high level summary, the change relates to how the exchange bundles trades within their messaging. Right now we are able to process each order for a trade independently. In the new protocol the exchange summarizes multiple orders under certain circumstances. For example, if you look at the current feed and see multiple trades at the same time and price (but different sizes), those will typically be bundled into a single trade going forward with MDP 3.0. So instead of multiple ticks such as 1@2084.75, 3@2084.75, 2@2084.75, 5@2084.75... you will see a single tick of 11@2084.75.

Since the middle of last year, our engineers have been trying to find ways to unbundle the data in the new protocol while still maintaining accuracy and reliability. Unfortunately we haven't found a good way to accomplish this with the data provided by the protocol. We continue to look at our data processing options in cooperation with the CME Exchange. In the mean time, we are happy to be able to continue providing our customers the accurate tick data they have come to expect.

Jay Froscheiser
Vice President, Active Trader Products

pedro01
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Posts: 15
Joined: Apr 22, 2012


Posted: May 5, 2015 09:38 PM          Msg. 16 of 29
Jay

Can you clarify something

"if you look at the current feed and see multiple trades at the same time and price (but different sizes), those will typically be bundled into a single trade going forward with MDP 3.0"

When you say time price - what price granularity is that? Is it trades at the same second, millisecond or other?

Also - is it only trades hitting the same side too? So for instance if a trade hits the offer at 2000 and price ticks up and the next trade hits the bid at 2000 is there a chance they will be bundled?

Thanks

Pete

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 6, 2015 10:28 AM          Msg. 17 of 29
Pete, for the most part you would notice it for trades at the same millisecond. However, there are scenarios as it relates to spread/implied trades we are still looking into (hence our ongoing testing and feedback to the exchange).

We will provide more detail as we continue our testing...

Jay Froscheiser
Vice President, Active Trader Products

edjabrick
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Posts: 1
Joined: May 9, 2015


Posted: May 9, 2015 11:34 PM          Msg. 18 of 29
Hi I hope this thread is still active. I trade the ES, and I use tick charts. I am quite devastated by the change that occurred at the CME because I have lost confidence in my trading. I would like to know how I can go about prolonging the use of the previous protocol. My broker is AMP, and I use CQG as my data feed, and my trading platform is Ninjatrader. I honestly do not know much about brokers and data feeds because I simply used what my mentor was using. I would like to use the older protocol even if it is for an additional couple of months. How do I change over to someone who still uses the older protocol? Can you walk me through it, please? Would I still be able to use Ninja Trader if I switched to IQ Feed? Would I still be able to use my broker, AMP? I know I am able to use Ninja Trader free with AMP/CQG (the basic Ninja Trader version, that is). So this complicates it in my mind. Thank you for your time.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 11, 2015 08:24 AM          Msg. 19 of 29
Edjabrick,

There is a very simple solution for you. Take a trial of IQFeed at http://www.iqfeed.net/ninjatrader and you will be back to having the true tick by tick data you need to trade successfully. Not only that, but you will have access to more data than you have ever had with deeper historical data, streaming real time news feeds and data from markets other than the CME so you can see what is happening around the world that may impact the contracts you trade.

Once you have your trial started, all you need to do is changes your data source in NinjaTrader to DTN IQFeed. You can still trade through AMP while using IQFeed as your data source. The best part is we provide 800# support and can help you get setup right away.

Also, have your mentor give us a ring and we can help him/her get setup with service that will allow all of his students to trade off the same, higher quality data. That way everyone in the class/trade room will see the market moving the same way as you.

Jay Froscheiser
Vice President, Active Trader Products

pnannis
-Interested User-
Posts: 5
Joined: May 5, 2015


Posted: May 28, 2015 12:04 PM          Msg. 20 of 29
Rithmic just made announcement that they will continue to distribute tick data as before and that the MDP 3.0 does contain the info needed to do this. Any progress on the iqfeed side?

DTN_Jay_Froscheiser
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Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 28, 2015 12:52 PM          Msg. 21 of 29
We have some changes being tested and it currently looks like we will be able to unbundle the trades and continue to provide the tick level data as before. There will be some slight differences from the current feed, but all indications currently look good for continuing to provide each individual tick. More details to come in the next week or two.

Jay Froscheiser
Vice President, Active Trader Products

bludev
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Posts: 12
Joined: Nov 14, 2012


Posted: Jul 8, 2015 04:33 AM          Msg. 22 of 29
Hi Jay, any updates on this issue?

DTN_Jay_Froscheiser
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Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jul 8, 2015 08:05 AM          Msg. 23 of 29
We don't have a hard release date scheduled yet, but we will be providing the feed unbundled.

Jay Froscheiser
Vice President, Active Trader Products

Lewcifer
-Interested User-
Posts: 29
Joined: Jul 8, 2006

Lew Payne


Posted: Jul 18, 2015 10:27 AM          Msg. 24 of 29
Using the data stream provided by IQfeed, is there a way for me to be able to identify these "unbundled" trades so that I may consolidate/bundle them myself? Specifically, is there a field that tags each unbundled trade with an identifier that is common to that bundle? Such that, if I were to add up all the trades with that common identifier, I would end up with the aggregate trade that was placed (in reality) by one entity/trader but purposely split into smaller batches of successive trades?


Lew Payne, Founder
Boise Stock Exchange

Edited by Lewcifer on Jul 19, 2015 at 09:31 PM

DTN_Tim Walter
-DTN Guru-
Posts: 968
Joined: Apr 25, 2006


Posted: Jul 21, 2015 07:17 AM          Msg. 25 of 29
Hello, Sorry I have not replied sooner. You will certainly be able to pull like things together by using the tickID. That will be duplicated between each trade message. There is still some discussion to happen internally on this, but that is the current direction.

Tim

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1722
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Aug 12, 2015 03:05 PM          Msg. 26 of 29
See http://forums.dtn.com/index.cfm?page=topic&topicID=4067 for an update on the MDP 3 rollout for IQFeed.

If you are a registered IQFeed API Developer, you should have received and email that included instructions for connecting to our Pre-Production feed if you would like to test your systems with the new protocol.

Jay Froscheiser
Vice President, Active Trader Products

Lewcifer
-Interested User-
Posts: 29
Joined: Jul 8, 2006

Lew Payne


Posted: Aug 26, 2015 11:36 AM          Msg. 27 of 29
What happens to spread leg trades? Specifically...

  • How do I identify spread-induced volume now that it will no longer be included in the transactional feed under MDP 3.0?

  • Where else do I go to find spread leg trade volume, so that I can consolidate it back into tick volume?

  • How can I ascertain IQfeed-specific operational issues caused by this change, so that I can adjust my systems accordingly prior to cutover?

  • How will historical data be fitted so that volumetric issues are minimized, when overlapping between pre-cutoff and post-cutoff data?


    Regards,
    Lew Payne


    Lew Payne, Founder
    Boise Stock Exchange

    Edited by Lewcifer on Aug 26, 2015 at 11:38 AM

  • DTN_Tim Walter
    -DTN Guru-
    Posts: 968
    Joined: Apr 25, 2006


    Posted: Aug 26, 2015 12:05 PM          Msg. 28 of 29
    Hello,

    We are still in communication with the CME in regards to their expectation for the spread leg trade handling. We will post when we know more, but at this time I do not have concrete information so I do not want to speculate and lead you wrong.

    We will continue to try and get concrete answers on these and other questions so that we can continue to provide you the best possible tick by tick feed that we can offer. As we learn more, we will certainly pass that on to you and others so that we can minimize the impact of these changes on your business.

    Tim

    Lewcifer
    -Interested User-
    Posts: 29
    Joined: Jul 8, 2006

    Lew Payne


    Posted: Sep 25, 2015 05:00 PM          Msg. 29 of 29
    Tim - I just received the following email from Telvent...

    --- begin:

    Effective Sunday, September 27, 2015 our ticker plant will complete its transition to the new MDP 3.0 protocol from the CME Group. The CME released this protocol in late 2014 and is requiring all data vendors to migrate to it by October 2015.

    With the large number of professional traders who rely on IQFeed to power their trading and analytics, we have been focused on ensuring this change will have minimal impact on you. While the MDP 3.0 protocol is designed to “bundle” trades that were previously reported individually, our Ticker Engineers have been able to successfully “un-bundle” these trades so IQFeed can continue providing the highest level of visibility and accuracy with regards to trade flow.

    We have spent countless hours coding, testing, and validating our systems to ensure our customers continue receiving the best data feed on the market. Because of this effort, our customers will notice little or no change within your charts when we switch to MDP 3.0. You may notice fewer trades being reported because the CME Group will no longer report Spread Leg trades the same as before. Thus, these will be represented as volume only updates without a corresponding trade. In addition, you may notice multiple sequential trades that will be sent with the same TickID. This will allow our customers and 3rd party software providers to “re-bundle” the trades if desired while providing “un-bundled” trades to the majority of our users who need it.

    We pride ourselves on providing professional services to successful traders and strive to communicate with you anytime there is a change or issue that could affect your trading. Be sure to follow us on Twitter (@DTN_IQFeed) to receive a full year of free real-time quotes.

    --- end

    Well done, guys... this was not an easy feat; a solution was not evident at first, and it required thinking and interfacing with the CME guys to fully understand your options and engineer a multi-faceted solution.

    Regards,
    Lew Payne

    Lew Payne, Founder
    Boise Stock Exchange
     

     

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