IQFeed CME Feed Change Notice Q3 2015
IQFeed CME Feed Change Notice Q3 2015
This will only affect IQFeed Users. When using Glean or Glean designs with IQFeed, the main change here will be that prints from the same CME venue (eg CBOT, or NYMEX) will now be consolidated by the CME into a single trade if they occur at the same time. This will be reflected in the signals that your design processes.
Here are the venues which will now look as one print when occurring at same time, and date they will change over to this format . See below for full text, apart from print comparison purposes this should not use Glean use.
Full Text Of Announcement :
UPDATE — IQFeed switching to CME Group MDP 3.0 feed!
Hello, as most of you already know, CME Group is changing the protocol they use to deliver data to data providers (That would be us/DTN/IQFeed).
This is a mandatory change for all of their customers and there is no option to stay on the old protocol. The good news is that we are able to
mask these changes in protocol from you and still deliver the high quality feed you are expecting from us.
Unfortunately, there will be some slight changes in the volume of data and the identification of trades received from the exchanges that comprise
the CME group. As of the switchover, the CME Group will start bundling trades of like prices that occur within the same event into a single message.
We will handle unbundling these trades so that we can send them to you as close as possible to the same data you were getting before the switch.
There are two significant changes that we have identified which we are unable to reconcile.
The TickID field will no longer be a unique identifier for a single trade. All trades that originated in the same bundle from the exchange will use
the same TickID.
Spread Leg trades are no longer received from the exchange in the new protocol. In the old protocol from the exchange, these were identified
as normal trades. This will result in a reduction on the total number of trades for any given contract which will vary depending on number of
Spread Leg trades that occur on that contract.
We will be rolling out these changes by exchange, tentatively starting August 23rd, as follows:
NOTE: All dates are subject to change.ExchangeDateMGEAug 23CBOTAug 30COMEX/NYMEX/DMESept 6CMESept 13BM&F**TBD**** BM&F is not yet in the MDP 3.0 protocol on CME Groups production feed. Once they release it, we will test it and slot it into the above schedule.
We have these new feeds running on our pre-production servers currently. If you would like to test these changes before they rollout onto our production
servers, please contact developer support (reply to this email) for instructions on connecting to these servers.
As always, if you have any questions or concerns, please feel free to reply to this email or contact
developer support on the forums or chat.
