CME Equity Futures Data Changes $ES

Fellow Traders

On Monday Oct 5th, I mentioned in our trading chat room that the "Tape" i.e time and sales did not look right. As many of you are aware I am a tape reader and have been watching the same configuration of time and sales for close to 12 years.

I made a comment that before the week was out we would see or hear some news about the changes to the Data Flow.

It seems that the actual announcement from the CME goes back to 6/24/09 but the changes are only now taking effect.

These changes are being made to what is called the FIX Protocol. The Fix protocol are the rules governing the way  orders are transmitted electronically to the CME. These include new orders and orders to change modify or cancel trades.

You can read about the changes to the data flow, time and sales, here http://www.cmegroup.com/globex/files/EquityFuturesEnhancements.pdf

I have read it a couple of times and I am still reviewing the impact it will have on the tape.

At first glance it appears that it will increase the stream of tick data possibly having the effect of showing a greater number of bars on a tick or volume chart. This seems to be the consensus among those who have read it.
I don’t (as of yet) see anything in the changes that would have a material effect on the pure time and sales.

The changes to the Fix protocol will however most certainly have an effect on the DOM, as it directly impacts on the way orders not yet filled are modified.

I will continue to review, and keep you posted.

NOTE: this is an important change and will impact many futures day traders. Please forward this web page to any fellow trades

Greg

Category: Market Commentary