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I should of attached this to the previous email. Here is the notice I
received.
Notification of Upcoming CME GLOBEX Data Feed Changes
Recently, the message traffic for market data has been rapidly increasing.
In an effort to reduce the amount of message traffic, the CME plans to make
an industry-wide change, affecting all data vendors, to aggregate the ticks
sent by its datafeed for GLOBEX markets. This means that you will receive
fewer trade ticks overall. This change is scheduled to take place on
12/18/2005.
Currently, for example, a five lot order matched with five one lot orders
will result in five trade ticks being disseminated, each tick having a
volume of one contract. Starting on 12/18/2005, a five lot order matched
with five one lot orders will result in two trade ticks being disseminated,
the first of these ticks with a volume of one contract and the second of
these ticks with a volume of four contracts. This is known as tick
aggregation.
Please be aware that if you are using tick bars, this will result in a
reduction of the number of bars that you will receive for CME GLOBEX markets
starting on 12/18/2005. If you are using any time-based bars such as
intraday or daily, weekly, or monthly bars, the number of bars that you
receive should not change.
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