URGENT: Need to document CME bad tick issue

[aspTrader]

Background

Cross posted at https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=54394.

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/Topic.aspx?Topic_ID=54112

I work with a gentleman some of you may know or have heard of: Tim Morge of http://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.

-- aspTrader

[eudamonia]

aspTrader,

I'm scoping out the British Pound CME futures. Got me some nice spikes in thar I'll send you an e-mail later.

Edward

[Lawrence Chan]

CME's special late reporting trades with previous day settlement value is there as long as I can remember (ten years ago?).

For most data vendors, due to the complexity of adding specialized rule to filtering specific data is hard (think of firewall rules that allow specific IP's special activity while filtering out all other ones), it is preferred not to touch the core system.

Euro Currency and other instruments that traded with 4 decimal places are the ones that got hurt most because standard filters work on much bigger values.

So, I assume if you can convince the various data vendors to create specialized filters for symbols with value ranging from 0 to 2 - that will do the job for now.

The special Euro currency filter I worked out for NeoTicker will work fine in real-time, but that cannot fix the spikes in historical data you download ...

[aspTrader]

CME's special late reporting trades with previous day settlement value is there as long as I can remember (ten years ago?)....

I think that's right... But they mostly threw those ticks in at the inter-session break.

It looks to me that they are now throwing them randomly into the tick stream.

That's what's causing the problem.

[aspTrader]

I've been given permission to provide an update on the meeting Tim Morge had with folks from the CME including the very senior CME executive who initiated today's meeting after Tim brought the issue to his attention.

The meeting went well. No need for more info on the problem at this time.

The CME is clear that a change was made to the entry of certain spread trade currency information on or about July 11, 2006. (I don't know anything about those details.) The unintended result of this was the appearance of these data in the realtime market data feed at seemingly random times during the day. These mostly single tick datum caused the price spikes in the currency futures charts. Sometimes there has been more than one per day per symbol.

The diagnosis process has begun and a plan for fix will follow.

I'll provide another update when there is more information available.

Thanks to Tim Morge and the CME for wanting to get to the bottom of the issue and determining to take action to do so!

-- aspTrader

[eudamonia]

aspTrader,

That's great to hear.

Edward

[chris212]

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