5 ms·

Bootstrapping an Ultra Low Latency Trading Firm, Part 3.1

51 points by veyron 15y ago

veyron 15y ago
Kickstarter request for setting up platform to allow me to redistribute the market data: http://www.kickstarter.com/profile/proposals/83047 http://www.kickstarter.com/profile/proposals/83047
- akronim 15y ago
  I get a login screen from that link...
  - veyron 15y ago
    I see that now. Their statement is "We promise we'll get back to you as soon as we can. When we do, you'll receive notification." A proposal was submitted, and if its approved I will put an updated link. In the interim, putting a post saying that you would be interested in donating would help :)
    - Bootvis 15y ago
      I would need to go over the details but getting this for a lower price would be good. So yes, I would be interested.
- Maro 15y ago
  Is it legal to redistribute the feed?
  - veyron 15y ago
    You have to become vendor of record and that part is expensive (bleh)
apaprocki 15y ago
Well, there are market data feeds, and then there are market data feeds. For example, say you want to write a program to look at all option data in North America. You can go pay for a full feed from OPRA. This requires over 1Gbps bandwidth from the exchange and processing power to handle over 5 million messages a second doing whatever it is you want to do with them. I asked around back when the other HFT topics popped up and I believe a low-latency raw feed from Bloomberg would run somewhere in the $5k-$10k /month range depending on configuration before you tack on any fees the exchanges add for realtime vs delayed access per unique user. I'm curious whether startups actually want feeds like this, or say, would want to use a node.js async front-end on the SDK..
- veyron 15y ago
  In my proposed solution, since I am already getting the feeds, I would only charge the incremental cost for additionally redistributing the data :)
  - apaprocki 15y ago
    I guess I just don't really understand what it is you are talking about setting up. Let's just limit this to NASDAQ.. NASDAQ requires a $14/seat exchange fee for non-professional users. If you, as a distributor don't control the entity receiving the data (you wouldn't in this case), then everyone receiving data from you would still need to sign with NASDAQ: "All data feeds — including internally or externally distributed, real-time or delayed, snapshot or streaming — must be approved by NASDAQ OMX prior to initiation of service. This prior approval process creates a direct relationship between the Recipient and NASDAQ OMX. This direct relationship is essential in ensuring the correct display of the Information, an effective entitlement process and a timely reporting process of the market data usage." http://www.nasdaqtrader.com/content/AdministrationSupport/AgreementsData/datapolicies.pdf http://www.nasdaqtrader.com/content/AdministrationSupport/Ag... If this is not what you are planning on doing, could you be more specific about what you're talking about distributing? If you had 100 people that want the realtime feed, how would you handle bandwidth/equipment issues?
JoeAltmaier 15y ago
I'm an ultra low Frequency trader. Bought some index funds 5 years ago. Talk to my broker once a year. Recently got out of one fund, into another. Whoo hoo! I need a product that notifies me if there's something I need to do, like deal with a bankruptcy or a fund is being discontinued and I need to reinvest. As it is, the process is a) receive half a dozen mailing each month about funds and b) throw them all away (too much information). I know, my broker can deal with all that. So, can he be replaced? Yes, surely. Anybody got ideas?
- veyron 15y ago
  If that data is available on the website, you could write a perl or python script to scrape the site.
snikolic 15y ago
Veyron, I wish you a fine recovery from the last few days. :-) First off, I'd pay. Second, I'll donate as soon as the kickstarter page is up. Last, can you clarify what the granularity of the data would be? Are we just talking about closing prices, periodic price updates during the day (e.g. every 5 minutes), real-time, etc.?
- veyron 15y ago
  It will be the realtime data, exactly as how I receive it. I will start with NASDAQ first, mainly because their contracts are the easiest to digest (and because their turnaround time is generally awesome). To familiarize yourself with the format, check out the ITCH 4.1 specification. It quite literally shows every event as it happens (their internal timestamps have nanosecond resolution and they send a message every time a person sends an order, cancels an order, or induces a trade. They also have special messages for trades against hidden orders, trade breaks -- when the exchange decides a trade was invalid -- and other miscellaneous information that you may choose not to use :). I should note that I also inserted my timestamp (so you can see when we received the data)

51 points by veyron 15y ago

Kickstarter request for setting up platform to allow me to redistribute the market data: http://www.kickstarter.com/profile/proposals/83047 http://www.kickstarter.com/profile/proposals/83047

akronim 15y ago
I get a login screen from that link...
- veyron 15y ago
  I see that now. Their statement is "We promise we'll get back to you as soon as we can. When we do, you'll receive notification." A proposal was submitted, and if its approved I will put an updated link. In the interim, putting a post saying that you would be interested in donating would help :)
  - Bootvis 15y ago
    I would need to go over the details but getting this for a lower price would be good. So yes, I would be interested.
Maro 15y ago
Is it legal to redistribute the feed?
- veyron 15y ago
  You have to become vendor of record and that part is expensive (bleh)

apaprocki 15y ago

Well, there are market data feeds, and then there are market data feeds. For example, say you want to write a program to look at all option data in North America. You can go pay for a full feed from OPRA. This requires over 1Gbps bandwidth from the exchange and processing power to handle over 5 million messages a second doing whatever it is you want to do with them. I asked around back when the other HFT topics popped up and I believe a low-latency raw feed from Bloomberg would run somewhere in the $5k-$10k /month range depending on configuration before you tack on any fees the exchanges add for realtime vs delayed access per unique user. I'm curious whether startups actually want feeds like this, or say, would want to use a node.js async front-end on the SDK..

veyron 15y ago
In my proposed solution, since I am already getting the feeds, I would only charge the incremental cost for additionally redistributing the data :)
- apaprocki 15y ago
  I guess I just don't really understand what it is you are talking about setting up. Let's just limit this to NASDAQ.. NASDAQ requires a $14/seat exchange fee for non-professional users. If you, as a distributor don't control the entity receiving the data (you wouldn't in this case), then everyone receiving data from you would still need to sign with NASDAQ: "All data feeds — including internally or externally distributed, real-time or delayed, snapshot or streaming — must be approved by NASDAQ OMX prior to initiation of service. This prior approval process creates a direct relationship between the Recipient and NASDAQ OMX. This direct relationship is essential in ensuring the correct display of the Information, an effective entitlement process and a timely reporting process of the market data usage." http://www.nasdaqtrader.com/content/AdministrationSupport/AgreementsData/datapolicies.pdf http://www.nasdaqtrader.com/content/AdministrationSupport/Ag... If this is not what you are planning on doing, could you be more specific about what you're talking about distributing? If you had 100 people that want the realtime feed, how would you handle bandwidth/equipment issues?

JoeAltmaier 15y ago

I'm an ultra low Frequency trader. Bought some index funds 5 years ago. Talk to my broker once a year. Recently got out of one fund, into another. Whoo hoo! I need a product that notifies me if there's something I need to do, like deal with a bankruptcy or a fund is being discontinued and I need to reinvest. As it is, the process is a) receive half a dozen mailing each month about funds and b) throw them all away (too much information). I know, my broker can deal with all that. So, can he be replaced? Yes, surely. Anybody got ideas?

veyron 15y ago
If that data is available on the website, you could write a perl or python script to scrape the site.

snikolic 15y ago

Veyron, I wish you a fine recovery from the last few days. :-) First off, I'd pay. Second, I'll donate as soon as the kickstarter page is up. Last, can you clarify what the granularity of the data would be? Are we just talking about closing prices, periodic price updates during the day (e.g. every 5 minutes), real-time, etc.?

veyron 15y ago
It will be the realtime data, exactly as how I receive it. I will start with NASDAQ first, mainly because their contracts are the easiest to digest (and because their turnaround time is generally awesome). To familiarize yourself with the format, check out the ITCH 4.1 specification. It quite literally shows every event as it happens (their internal timestamps have nanosecond resolution and they send a message every time a person sends an order, cancels an order, or induces a trade. They also have special messages for trades against hidden orders, trade breaks -- when the exchange decides a trade was invalid -- and other miscellaneous information that you may choose not to use :). I should note that I also inserted my timestamp (so you can see when we received the data)