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CME Trade Data Feed Change - Effective 12/19/2005

Effective this Sunday, December 18, 2005 (trade date Monday, December 19), to reduce the volume of CME market data messages, particularly during peak trading periods, CME is implementing a change to the Trade (M6) market data message. The new M6 Message Aggregation model reduces the time required to process each M6 message and reduces latency in CME market data dissemination.

This CME market data change does not require any customer development or certification.

Current State

* An M6 message is generated for every trade component, disseminating a new message for each contra-party quantity.

Future State - M6 Message Aggregation Model

* CME will immediately disseminate the first M6 message for each trade of each instrument at a particular price.
* Subsequent M6 messages are aggregated for each trade, by price, instrument, side variation, and trade type, disseminating a message for the largest contra-party quantity.
o The subsequent M6 messages are aggregated until an M6 is triggered for dissemination by:
1. Change of order;
2. Change of price; or,
3. A Last Best Price (M0) message is disseminated.

For example, currently, one 5-lot matching against five resting 1-lots generates five M6 messages. The new M6 Message Aggregation model recognizes the M6 messages are generated by the single 5-lot order and publishes the first M6 for the first 1-lot fill on the 5-lot order. The market data generated by the remaining four 1-lot fills is aggregated in a single M6 message with the Trade Quantity field (position 70-81) equal to four.

This change will greatly reduce the number of M6 messages sent during peak trading periods, and will have corresponding bandwidth and processing savings for the customer.

Thanks pt_emini - really important info there!

This will basically change the development of tick bars for anybody that uses tick charts. After this has been implemented the number of ticks will be reduced and so in the future a bar from a 233T chart (for example) will include more trades than it did in the past. When I say more trades I mean more "traditional ticks" as well as more volume.

The ability to easily manipulate a tick chart - as will happen inadvertently here - is the reason that I have always been against using tick charts and have always favored volume charts in their place. Volume charts change bar ever X contracts and that is "impossible" to manipulate. (Perhaps it is possible to manipulate a volume chart but I can't see how...)

So time and volume charts will not be affected by the CME change but tick charts will. Be extra vigilant if you use tick charts to trade with.