CME Report Changes 10/4/09


Can you explain the changes the CME made as of 10/04/2009 regarding how transactions are reported and how it will effect tickbar charts and other aspects of Investor/RT?  

As of Sunday, 10/04/2009, 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.  This does not effect the volume, just the number of trades (more trades with a smaller average size).

So what does this mean for Investor/RT users?   (Please keep in mind the following statements were made after observing just a short period of data before and after this change, and observing it only on the S&P e-mini contract ES.)
  • More Tickbars: If you are using tickbar charts, you'll start seeing approximately 2.5 times as many tickbars per day as you were before, since there are approximately 2.5 times as many ticks per day.  The CME claims this will give the user a more accurate tickbar picture. Slower Backfill: Backfill or downloading of historical data will take longer since there will be more ticks/trades to download. 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. Time and Sales windows will be handling approximately 2.5 times the data they were before.
  • Fewer Big 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 really demonstrates the change:

hese are daily bars (day session only).  The first four days/bars are before the change, while the last two 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 195k/day to around 370k/day.  The lower pane shows the average size per trade, which drops from around 11.5 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):

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, a 233 tickbar becomes 582 tickbar, a 377 tickbar becomes 942 tickbar, etc.  However, I believe numbers like 233 and 377 were chosen because they are numbers in the Fibonacci sequence. So if that is more important than maintaining the same number of bars as before, it might make more sense to change 233 to 610 and 377 to 987.