7 ms·

Market data is not non-public definition. NYSE was simply slow in aggregating market data during times of high volume. This did not affect you as a retail inve

Market data is not non-public definition. NYSE was simply slow in aggregating market data during times of high volume. This did not affect you as a retail investor, as you get the NBBO price. This only affected you if you were an HFT firm with bad infrastructure who depended on the aggregate feed and not their direct line. Like tptacek said, the price for getting a direct line, while expensive, is not unreasonable for a business. The largest cost will be salaries for the people writing your code and maintaining your infrastructure.

bonestamp2 11y ago
> NYSE was simply slow in aggregating market data during times of high volume. Maybe I misunderstood, but it seems like they're saying that's not the case: FTA: "First, we had to rule out the possibility of the delay being caused by the consolidation process (which people often erroneously point out)."
- reverend_gonzo 11y ago
  By consolidation, he means the Consolidated Tape Association which takes feeds from all exchanges (NYSE, Nasdaq, AMEX, etc) and puts out a single consolidated feed that most non-HFT entities use because its good enough. They get their data from NYSE from apparently an aggregate feed, which was unintentionally delayed by NYSE. In my opinion, they should have been getting the direct feed and doing all consolidation themselves. However, HFT firms will still have a vested interest in making more efficient aggregate feeds than the consolidators/exchanges.
ethbro 11y ago
> Like tptacek said, the price for getting a direct line, while expensive, is not unreasonable for a business. The largest cost will be salaries for the people writing your code and maintaining your infrastructure. Be that as it may in reality, per below quote I assume that behavior is still illegal. "A crucial sub-ruling in the regulations prohibits exchanges from giving stock quotes to special groups faster than to the public. This sub-rule is of such importance, that without it, the rest of the rules (Reg. NMS) essentially become meaningless."
- reverend_gonzo 11y ago
  Outside of labor, the primary costs are hardware, colocation, and networking, none of which is a fee to the exchange. Please tell, how the world is supposed to provide that for free to anyone who wants it? Colocated servers are the public.
  - ethbro 11y ago
    If NYSE wants to lobby for laws to be changed, then they're welcome to do that. Just like Uber or Airbnb when they get hit with fines. But the law's the law. "It doesn't make sense" isn't a valid defense.
    - EdHominem 11y ago
      Imagine that they're providing free firewood to the public - what obligates them to provide the pickup trucks?
      - deleted 11y ago
        [deleted]
      - ethbro 11y ago
        The law, in the same way we regulate many markets that can only efficiently support fewer participants than would be required for a fully competive marketplace. Usually due to capex: energy infrastructure, network effect: financial, or limited availability of resources: wireless spectrum. If it's in the public interest to have trucks and no firewood seller would otherwise provide them. That's absolutely something government can (and IMHO should) mandate in exchange for a firewood license.
        EdHominem 11y ago
        Well I demand that my free server have 128GB of ram, and holograms. Fucking fatcats.
  - KMag 11y ago
jsprogrammer 11y ago
Are you saying that there is a special market operating in the NYSE that some traders cannot access? Why would my order not be eligible for being matched, but a HFT's would? Edit: wow, rate limited after three posts this morning. A new HN low. My response to tptacek below: My dumb order? How can HFT's intercept and redirect my trades to their, appently, captive pool of dumb trades? Sure sounds like multiple markets are operating...and you are even telling me that my orders will be scraped before they can even reach some markets.
- tptacek 11y ago
  No, that's not what he's saying. But aside from that: the reason orders you place won't be matched on any market at NYSE, let alone a special one, is that HFT market makers will give you a price break to route your dumb order to them so they can collect their tiny spread from your trade without worrying that you're a hedge fund about to steamroll them with a giant block order.
  - jsprogrammer 11y ago
    Who is subsidizing the HFT market makers so that they can undercut the rest of the market on their private exchanges?
    - tptacek 11y ago
      This is like a question from a markov generator. I won't try to answer it.
      - jsprogrammer 11y ago
        Some help: >is that HFT market makers will give you a price break to route your dumb order to them You claim a price break on a private exchange. How can they (HFT market makers) deliver a better price than the public exchange? Presumably they cannot have bought it on the public market at the better price, so some party must absorb the loss on the price break. My question can now be translated to: Who absorbs the loss from the price break?
jsprogrammer 11y ago
What if you want to write your own code and run your own infrastructure? The direct line may still be cost prohibitive and bestow a distinct advantage to your competitors. Some people think this is not the case?
- vecter 11y ago
  No one is entitled to be able to enter a market. It would be practically infeasible for me to compete against Amazon by writing code at home. That doesn't mean the ecommerce market is a bad thing.
deleted 11y ago
[deleted]
TheNanex 11y ago
Where to begin. The retail investor gets the slowed down price (the NBBO is really what the internalizer/wholesaler saw from the SIP when they executed your order). That same internalizer buys/sells from the faster feed. Whenever the two feeds are out of sync, it's like printing money. "The price for getting a direct line is not unreasonable?" I just laughed out loud reading that. Is $60,000/month for just one exchange (there are a dozen), reasonable? Then you need network engineers, infrastructure, etc. It used to be nowhere near this expensive for "real-time" data. Orders of magnitude less.
- kasey_junk 11y ago
  What would be your proposal for a solution to a sync'd feeds obvious distributed systems problems? How much latency would be acceptable for a fully consistent, high throughput distributed log of events, that when it becomes unavailable the entirety of US trading shuts down and if it ever gets out of order can cause gigantic lawsuits? How would you change the obvious organizational disincentives as well? Given that maintenance of the SIP is full cost, no profit operation for the exchanges? Finally, don't take this as a criticism of your whistle blowing, I think that is critical to a functioning market, I am curious to know how you would solve the obvious technical challenges the consolidated feed faces?
  - KMag 11y ago
    What do you mean by "fully consistent" in the context of the SIP feed? The SIP isn't required to be consistent in the CAP sense of "consistent".
    - kasey_junk 11y ago
      The SIP isn't currently required to be consistent in the CAP sense of "consistent", but that is something people complain about. I think rightly, they point that the audit/compliance components of RegNMS are very troubling in the face of N inconsistent SIPs. Similarly, people complain about the SIP feeds being latent and I'm sure it would be a very real problem if any single exchange being unavailable made the entirety of the SIP unavailable. Its a fascinating problem because the engineering trade-offs are relatively static and well known, but each and every decision you could make provides an opportunity for arbitrage market activity that someone would consider predatory. That we've layered a regulatory requirement that is pretty vague on some of the edge cases on top of this, just adds to it.

bonestamp2 11y ago

> NYSE was simply slow in aggregating market data during times of high volume. Maybe I misunderstood, but it seems like they're saying that's not the case: FTA: "First, we had to rule out the possibility of the delay being caused by the consolidation process (which people often erroneously point out)."

reverend_gonzo 11y ago
By consolidation, he means the Consolidated Tape Association which takes feeds from all exchanges (NYSE, Nasdaq, AMEX, etc) and puts out a single consolidated feed that most non-HFT entities use because its good enough. They get their data from NYSE from apparently an aggregate feed, which was unintentionally delayed by NYSE. In my opinion, they should have been getting the direct feed and doing all consolidation themselves. However, HFT firms will still have a vested interest in making more efficient aggregate feeds than the consolidators/exchanges.

ethbro 11y ago

> Like tptacek said, the price for getting a direct line, while expensive, is not unreasonable for a business. The largest cost will be salaries for the people writing your code and maintaining your infrastructure. Be that as it may in reality, per below quote I assume that behavior is still illegal. "A crucial sub-ruling in the regulations prohibits exchanges from giving stock quotes to special groups faster than to the public. This sub-rule is of such importance, that without it, the rest of the rules (Reg. NMS) essentially become meaningless."

reverend_gonzo 11y ago
Outside of labor, the primary costs are hardware, colocation, and networking, none of which is a fee to the exchange. Please tell, how the world is supposed to provide that for free to anyone who wants it? Colocated servers are the public.
- ethbro 11y ago
  If NYSE wants to lobby for laws to be changed, then they're welcome to do that. Just like Uber or Airbnb when they get hit with fines. But the law's the law. "It doesn't make sense" isn't a valid defense.
  - EdHominem 11y ago
    Imagine that they're providing free firewood to the public - what obligates them to provide the pickup trucks?
    - deleted 11y ago
      [deleted]
    - ethbro 11y ago
      The law, in the same way we regulate many markets that can only efficiently support fewer participants than would be required for a fully competive marketplace. Usually due to capex: energy infrastructure, network effect: financial, or limited availability of resources: wireless spectrum. If it's in the public interest to have trucks and no firewood seller would otherwise provide them. That's absolutely something government can (and IMHO should) mandate in exchange for a firewood license.
      - EdHominem 11y ago
        Well I demand that my free server have 128GB of ram, and holograms. Fucking fatcats.
- KMag 11y ago

jsprogrammer 11y ago

Are you saying that there is a special market operating in the NYSE that some traders cannot access? Why would my order not be eligible for being matched, but a HFT's would? Edit: wow, rate limited after three posts this morning. A new HN low. My response to tptacek below: My dumb order? How can HFT's intercept and redirect my trades to their, appently, captive pool of dumb trades? Sure sounds like multiple markets are operating...and you are even telling me that my orders will be scraped before they can even reach some markets.

tptacek 11y ago
No, that's not what he's saying. But aside from that: the reason orders you place won't be matched on any market at NYSE, let alone a special one, is that HFT market makers will give you a price break to route your dumb order to them so they can collect their tiny spread from your trade without worrying that you're a hedge fund about to steamroll them with a giant block order.
- jsprogrammer 11y ago
  Who is subsidizing the HFT market makers so that they can undercut the rest of the market on their private exchanges?
  - tptacek 11y ago
    This is like a question from a markov generator. I won't try to answer it.
    - jsprogrammer 11y ago
      Some help: >is that HFT market makers will give you a price break to route your dumb order to them You claim a price break on a private exchange. How can they (HFT market makers) deliver a better price than the public exchange? Presumably they cannot have bought it on the public market at the better price, so some party must absorb the loss on the price break. My question can now be translated to: Who absorbs the loss from the price break?

jsprogrammer 11y ago

What if you want to write your own code and run your own infrastructure? The direct line may still be cost prohibitive and bestow a distinct advantage to your competitors. Some people think this is not the case?

vecter 11y ago
No one is entitled to be able to enter a market. It would be practically infeasible for me to compete against Amazon by writing code at home. That doesn't mean the ecommerce market is a bad thing.

deleted 11y ago

[deleted]

TheNanex 11y ago

Where to begin. The retail investor gets the slowed down price (the NBBO is really what the internalizer/wholesaler saw from the SIP when they executed your order). That same internalizer buys/sells from the faster feed. Whenever the two feeds are out of sync, it's like printing money. "The price for getting a direct line is not unreasonable?" I just laughed out loud reading that. Is $60,000/month for just one exchange (there are a dozen), reasonable? Then you need network engineers, infrastructure, etc. It used to be nowhere near this expensive for "real-time" data. Orders of magnitude less.

kasey_junk 11y ago
What would be your proposal for a solution to a sync'd feeds obvious distributed systems problems? How much latency would be acceptable for a fully consistent, high throughput distributed log of events, that when it becomes unavailable the entirety of US trading shuts down and if it ever gets out of order can cause gigantic lawsuits? How would you change the obvious organizational disincentives as well? Given that maintenance of the SIP is full cost, no profit operation for the exchanges? Finally, don't take this as a criticism of your whistle blowing, I think that is critical to a functioning market, I am curious to know how you would solve the obvious technical challenges the consolidated feed faces?
- KMag 11y ago
  What do you mean by "fully consistent" in the context of the SIP feed? The SIP isn't required to be consistent in the CAP sense of "consistent".
  - kasey_junk 11y ago
    The SIP isn't currently required to be consistent in the CAP sense of "consistent", but that is something people complain about. I think rightly, they point that the audit/compliance components of RegNMS are very troubling in the face of N inconsistent SIPs. Similarly, people complain about the SIP feeds being latent and I'm sure it would be a very real problem if any single exchange being unavailable made the entirety of the SIP unavailable. Its a fascinating problem because the engineering trade-offs are relatively static and well known, but each and every decision you could make provides an opportunity for arbitrage market activity that someone would consider predatory. That we've layered a regulatory requirement that is pretty vague on some of the edge cases on top of this, just adds to it.