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I have been studying the CME's new data feed offering E-quotes.
I have attached a screen showing live data & market depth
I hope no one minds, I brought the quality down so it's ~ 70k.
[list moderator note: this image was too large to post; it
can be found at: <ftp://ftp.eskimo.com/u/j/jimo/cme-screen.jpg>]
The host sending the data is 4.37.96.28, based at Level3 in
Chicago. Trace is excellent from Europe ~ 200 ms.
The application is web based, using a proprietary Java
front end. I have contacted the CME and they do not plan to
release an API, nor would they release the data protocol
even under NDA. To reverse engineer inside the USA without
the CME's approval would probably be an DMCA violation,
( http://www.copyright.gov/legislation/dmca.pdf ) outside the
USA its probably fair game ;)
The data stream itself is operating on the standard HTTPS
port, though appears to be in the clear. I could see data
travelling in both directions on a per tick basis. The
protocol looks very basic and would lend itself easily to
a third party interface.
In summary it looks like a great offering from the CME,
deliberately retarded for commercial reasons. The CME
makes a lot of money from data licensing agreements and
does not appear in any hurry to change. I think most
people within the industry and outside agree that the data
vendors days are numbered, now that exchange and client are
in direct communication, but I wouldn't expect a fast
transition. What is needed is someone like the NYSE to say
all quotes free in real time, then the rest would follow
like a pack of cards. More access to data means more trading
activity, its only natural the exchanges will scarifies their
data vendors through technical obsolescence in favour of a
closer relationship with their end market participant clients.
Justin
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