[jeffersondaarcy]

Here is the total trades made per day for the last few weeks. The first giant spike is the Monday the CME changes took place.

[MidKnight]

Yet more info from people I highly respect in the trading community.

CME Unbundling - NeoTicker Forums

[suriNotes]

Here is the current (Post Oct. 4th) Avg. 3-day Tick Stats.
Also see one of my prior test for @ES.D and @NQ.D (in Excel).

I think it is approximately twice the number of bars in @ES.D and @NQ.D
after Oct. 4th.

Regards,
Suri

[dede]

The new feed makes my tick charts much more choppy. The difference is a factor of about 2.5. (2.5 more data is being sent since breaking up large orders in their data feed). I scalp the YM with 89 tick charts, I found that multipling 89 times the 2.5 factor give me a 223 tick chart which "smooths" out the chart -- bringing me back to where it used to be, so to speak. Those of you who use tick charts might want to try this and see how it works out for you.

[LS_Chad]

The post I made earlier was based on very limited data. After reviewing a full week after the change, there were 820k trades during the day sessions of the past week (on the ES) versus 1.55m the previous week. So based on this information, the multiplier should be 1.89. However, the volume was about 30% lighter this week than it was last week. Therefore, the multiplier should be increased by 30% as well bring it back to 2.46 which is very close to my original number (2.5), so I'll stick with that number for now.

Some recommended conversions for tickbar periodicities below:

233t becomes 582t
377t becomes 942t

However, I believe numbers like 233 and 377 were chosen because they are numbers in the Fibonacci sequence. So if that is more important than maintaining the same number of bars as before, it might make more sense to change 233 to 610....and 377 to 987.

[LS_Chad]

One correction to my post above, the 820k trades were for the week beginning Sept 28th (week before CME change). The 1.55m are for the week beginning Oct 5th (week after the change). I reported those backwards above. And these were for the day session only (ignoring overnight trades).

[Deucalion]

Thanks Bakrob and Daedulous. I had taken a snapshot of 5days of data, 3days before and 2 day after and saw the same results as mentioned. Unfortunately right after I sent that file to my mentor to comment upon, I deleted the email and have no attachment to accompany with this post.

Transferring to a 2.5x factor worked for a few days and not everyday on my tick charts. Which could be attributed to both lack of testing and/or low volume days or both. For now 2.5x remains the de facto change, but transferring to range bars has helped. They can hide volume, ticks, T&S and trade size but can't hide price action itself..can they?

I can't seem to notice the difference on the currency futures but that could be lack of observation as well.

And of course Barry Taylor at emini watch.com has a take on it as well (CME Says Better, Faster, Cheaper – I Don’t Think So). And this is a view which is entirely logical and cogent.

BTW - my mentor has moved to 2.5x on the ES.

[daedalus]

Deucalion - as far as I know the change had no impact on currency futures.