Wednesday, October 07, 2009

Emini Futures Trading / CME Group Changes Tick Reporting

(QQQQ)(SPY)(DIA)($SPX)($ES)

Our hearts, our prayers, and this song go out to our friend Michael Walz and his family.
"We Wait" After the Chase
(Click to listen)

Emini S&P Tick Chart Changes October 4th, 2009

If you use tick charts to trade e-mini S&Ps as I do, you will have noticed a dramatic increase in the speed with which your charting software produces tick bars on Monday and today from the speed that it produced the same size tick bars (i.e. 377-tick bars for me) on Friday.

I am writing to let you know that as of Sunday, October 4th, the CME Group enhanced the reporting of trades to provide more information at greater speed. For those of us who are tick bar chartists, the effect of this upgrade is to produce more ticks over the same price action than were produced before.

To offset the increased speed with which bars are being produced from today forward, I am using a larger tick bar to produce about the same number of bars over a given day as were produced prior to Monday. As I like to use Fibonacci numbers, I will probably be using a 987-tick bar as the replacement for my formerly trusty 377-tick bar.

I hope that this has been helpful.

On Wednesday morning, a friend and former mentoring trader, MJ, asked me to tell him the “truth” about the data/tick changes. Here is what I wrote:

As you ask an excellent question, I will give you the full answer as I know you can handle the truth!

The CME used to send out data that included the accurate price, the accurate volume, but, to save space (thereby increasing response speed), they would aggregate trades so if 40 contracts traded at exactly the same moment and two people sold 20 each and 8 people bought 5 each, the CME would send the data as 2 trades (counting only the trades of 20 + 20).

As of Monday, the CME is doing much less aggregation and, in the ideal, will send this 40 contract trade as 8 trades; thereby, separating the transaction into the actual number of trades that were produced.

This has the effect of making more ticks and, in so doing, building an x-tick bar faster than previously.

See, I knew you could handle the truth.

Wishing you success in your trading, Jeff


Keep your produce fresh - (seriously)
Reblog this post [with Zemanta]

No comments:

Post a Comment

Your comment will be posted within 1 hour of acceptance by our editorial staff.