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I am forwarding this from the TS forum -- as many of you no doubt know, this
has become a significant issue the last few weeks.
Chris
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Background
For a while now, the CME Euro/US Dollar exchange rate contract has
experienced price spike ticks each trading day. I have seen and understood
these same price spikes to have been occurring on other CME currency futures
contracts but I am more unfamiliar with the details for these other cases. I
have seen the problem on the NeoTicker, eSignal, and Ensign platforms. And
at the thread noted below, it's clear that the problem is occurring on the
Tradestation platform as well.
https://www.tradestation.com/Discussions/RecentPos t.aspx
I work with a gentleman some of you may know or have heard of: Tim Morge of
www.marketgeometrics.com. Tim and I were discussing this EC price spike
problem on our platforms and, after reading the TS Forum thread noted above,
I told Tim that the problem was independent of platform and data feed and
most likely was created by the CME itself.
Well, on hearing that, Tim went immediately and spoke with one or more very
senior CME executives. (I posted briefly and amorphously about this in the
TS Forum thread noted above. I didn't mention Tim's name at that point but I
now have his permission to do so on this issue in this post.)
Within the last 3 hours, Tim received a call to attend a meeting with CME
executive stakeholders on this price spike issue within the next 24 hours.
Meetings can always be rescheduled but I'm told it will happen tomorrow
morning. I won't repeat the list of specific management titles who will be
at the meeting because I don't want to inadvertently feed you incorrect
information. But let me say this... All the CME organization titles who
ought to be at the meeting are going to be there.
As I understand it, the CME is clear that the price spike ticks on the
currency contracts is begin generated by them (the CME). As I understand it,
there might be a feeling by some at the CME that dealing with these price
spike ticks is the responsibility of data and trading platform vendors.
Tim has been encouraged (well, actually "told" now that he got involved in
it) to bring documentation and other information related to the issue to
share with these CME executives/managers.
Now I had told Tim that the forums were full of folks upset about these
price spikes.
Guys and gals...
This is a terrific thing that the CME is doing. It's an opportunity for
users of CME realtime market information to communicate with senior CME
executives about how important market data integrity is to our trading and
our lives.
What we have is THE meeting on data integrity issues that we'd like to
have... How important is data integrity to you?
What needs to be done?
I'm going to prepare a table of Date/Hour/Minute/Second of the price spikes
for the Euro Currency contract for the last month.
I'm also going to prepare screen shots of NeoTicker charts showing these
price spikes.
Tim and I are hoping that a few Tradestation users might be concerned with
this issue enough to prepare similar data tables and chart screen shots of
the impact of the price spikes for Tradestation. Tim will be presenting
these materials to meeting participants.
I'm going to focus on the Euro Currency and it would be helpful if there
were other symbol examples.
Why charts? Why not just data tables? Well, the point is to illustrate how
harmful these price spikes can be to market analysis and trading and data in
tables doesn't do that harm caused justice.
You should also feel free to write a bit about your concern for the data
integrity issue in a PROFESSIONAL and COURTEOUS tone. Non-courteous,
non-professional notes will be tossed.
I'm going to integrate the materials sent about this issue based on this
post and others I make to other forums. Tim will be making final decisions
about what specific content gets presented during the meeting and to meeting
participants.
We got the meeting we wanted with the people who control the integrity of
the data important to us. This kind of opportunity doesn't arise every day.
My view is that it's time to put up or shut up.
I wish there was more time to assemble these materials. There isn't. I
promised Tim I'd have these materials to him by 7am Central Time tomorrow
morning so he has time for review.
Feel free to post questions in this thread. I will answer as best I can. You
can also PM me in this forum and I'll check tonight for PMs frequently in
the next 18 hours.
Send ONLY finished, professional looking materials to me at cmePriceSpikes
at gmail.com.
Let the CME know how important their data integrity related activities are
to your life.
Yes. It's me...
-- aspTrader
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