5 ms·

So the NYSE has been blaming the other exchanges for their behavior, when this was really a NYSE problem. However, it was only a NYSE problem because they were

by pdx 16y ago

So the NYSE has been blaming the other exchanges for their behavior, when this was really a NYSE problem. However, it was only a NYSE problem because they were effectively being DOS'd by some of the other exchanges. On the subject of HFT systems, we were shocked to find cases where one exchange was sending an extremely high number of quotes for one stock in a single second -- as high as 5,000 quotes in 1 second! So the NYSE was right to blame the other exchanges, but they were right for the wrong reasons.

gxti 16y ago
I don't think they mean that one exchange was DoSing another. Quotes within a single exchange are disseminated immediately to all interested parties -- if one party was spamming thousands of quotes at a stock, that stream would be repeated for everyone with a feed from that exchange. There's no way to tell which party is sending it, so the only thing you can measure is the quantity being sent by the exchange. Thus it is technically accurate to say that "one exchange was sending an extremely high number of quotes". It's in the exchange's best interest to disseminate quotes as quickly as possible in order to attract order flow and thus collect fees. On the other hand, inter-exchange feeds are federally mandated and used primarily to comply with Regulation NMS rules that prevent trades from executing at a price inferior to the NBBO (national best bid/offer). In other words, if I send a buy order to NYSE but NASDAQ has a lower price, NYSE is required to either reject the order or route it to NASDAQ for a fee (it's up to the customer which method is used). It's not necessary to send 5000 quotes per second to another exchange because the primary motivation is compliance. Generally, institutions will send their orders directly to the exchange with the best price in order to avoid the extra fee for having it routed by the exchange. I may be way off on the inter-exchange feeds as I am not a professional, but there are undoubtedly many here who are so please correct me.

by pdx 16y ago

gxti 16y ago

I don't think they mean that one exchange was DoSing another. Quotes within a single exchange are disseminated immediately to all interested parties -- if one party was spamming thousands of quotes at a stock, that stream would be repeated for everyone with a feed from that exchange. There's no way to tell which party is sending it, so the only thing you can measure is the quantity being sent by the exchange. Thus it is technically accurate to say that "one exchange was sending an extremely high number of quotes". It's in the exchange's best interest to disseminate quotes as quickly as possible in order to attract order flow and thus collect fees. On the other hand, inter-exchange feeds are federally mandated and used primarily to comply with Regulation NMS rules that prevent trades from executing at a price inferior to the NBBO (national best bid/offer). In other words, if I send a buy order to NYSE but NASDAQ has a lower price, NYSE is required to either reject the order or route it to NASDAQ for a fee (it's up to the customer which method is used). It's not necessary to send 5000 quotes per second to another exchange because the primary motivation is compliance. Generally, institutions will send their orders directly to the exchange with the best price in order to avoid the extra fee for having it routed by the exchange. I may be way off on the inter-exchange feeds as I am not a professional, but there are undoubtedly many here who are so please correct me.