Support Board

Date/Time: Tue, 16 Apr 2024 09:02:57 +0000

SC Reconstructed trade algo

[2021-10-18 17:48:07] #1 [Go To First Post]
User110547 - Posts: 11
According to a post in another forum where a member contacted the CME regarding trade reporting: Response Via Email (CME Global Command Center - 1) 04/15/2013 01:57 PM Dear --------, Trades take priority in the matching engines. We disseminate one trade per resting order during a match event. Once the match event concludes corresponding book updates are disseminated. We batch our book updates so you will get the current state of the book after taking into consideration the match event and any orders that were queued in the engine while the match event occurred. The market data book updates can be one or both of updating the existing price levels or deleting and adding price levels, it just depends on the specifics of the match event whether it traded through a price level or not. --Thank you. I am not sure if the above is still applicable, but if so it appears that a better criteria for aggregating trades for the CME is "Same Time and Type", and then as well "No book updates" between Same Time and Type. I have compared the SC algo with other trade aggregators and it appears that the lacking criteria of DOM/book update allows for more trades to be bundled that probably aren't from the same aggressor trader. I see that SC is aware of the limitations with this type of approach, but perhaps adding this criteria could help matters, at least in the case of the CME. Regards

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