Traders used to look at me pityingly for using IB for tick data, as IB aggregates ticks to save bandwidth and response time, as opposed to true tick data from eSignal and Globex etc...
Well, now - CME GLOBEX, the source for everyone else, is going to do the same thing. I don't think there is anyone here who watches ticks that closely for trading. But if anyone depends on the nuances of true tick bars for their strategy, there is going to be less bars and less data. It will feel much different. I wonder if IB will pass this through or if they will aggregate the aggregated ticks...
> 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.