On October 4th the CME went live with some changes in how they send out data for their equity futures contracts. We have had a bunch of questions and rather than providing you all the technical jargon, we will try to summarize its impact on you as a MarketDelta user. For those of you that want the nitty gritty details of the changes read this CME document.

:: Summary ::
The CME has begun “unbundling” some ticks/trades that were previously being sent as a single tick. From inspecting charts of the ES, it appears that the net result of this change is that approximately 2.5 times as many ticks or trades are being sent on average, WITH a much smaller average size per trade. The change does not effect the volume, just the number of trades (more trades with a smaller average size).

:: Here is what it means and what you will begin seeing ::
1) More Tickbars: If you are using tickbar charts, you will start seeing approximately 2.5 times as many tickbars per day as you were before because there are approximately 2.5 times as many ticks per day. The CME claims this will give the user a more accurate tickbar picture.

2) Slower Backfill: Backfill or downloading of historical data will take longer since there will be more ticks/trades to download.

3) Larger Database: The amount of the space in the database required to store a day of tick data will increase. Thus, the time it takes to backup or verify the database will increase.

4) Fewer Big (large lot) Trades: If you are filtering trades based on volume (in Time and Sales windows or using the Volume Breakdown indicator), you will see fewer large trades since many of these larger trades have been replaced with a few smaller trades. This change is rather substantial. The number of large trades (> 199 lots) per day on the ES dropped from approximately 1800 to approximately 400.

Here is a chart that demonstrates the changes most likely to be observed:

These are daily bars (day session only). The first three days/bars are before the change, while the last three display the larger tick counts after the change. Notice the volume per day stays relatively consistent, while the number of trades per day increases from around 170k/day to around 370k/day. The lower pane shows the average size per trade, which drops from around 12 contracts per trade down to an average of 4.5 per trade.

And below is a 10,000 tickbar chart (10,000 trades per bar). I set this to cumulate each bar (add each bar to the next) to clearly show the number of trades/tick per day has significantly increased.

You can see that the number of tickbars per day more than doubled after the change went into effect. In order to get the same number of bars per day as before, a user would need to multiply his periodicity by something around 2.5. So a 100 tickbar chart would change to a 250 tickbar chart, etc.

Tags: CME, Data, Tick Data, Trade Size

This entry was posted on Wednesday, October 7th, 2009 at 11:18 am and is filed under News. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.