5 ms·

It sounds like NASDAQ is having a problem with the Tape C consolidated feed (which they administer). Here's some good places to watch for updates: http://www.n

by minimax 13y ago

It sounds like NASDAQ is having a problem with the Tape C consolidated feed (which they administer). Here's some good places to watch for updates: http://www.nasdaqtrader.com/Trader.aspx?id=MarketSystemStatus http://www.nasdaqtrader.com/Trader.aspx?id=MarketSystemStatu... http://markets.nyx.com/nyse/market-status http://markets.nyx.com/nyse/market-status http://www.batstrading.com/alerts/ http://www.batstrading.com/alerts/ https://www.directedge.com/Alerts.aspx https://www.directedge.com/Alerts.aspx edit: Notes for people trying to understand the jargon. The UTP SIP is the consolidated feed for Tape C (i.e. NASDAQ listed) securities. In this case, the feed is composed of two parts: UTDF and UQDF. The UTDF is a feed of last sale prices and the UQDF is the feed of the best quotes from the various U.S. equity exchanges. It sounds like the problem is with the quote feed (UQDF). That's why they've halted trading on NASDAQ listed equities at all the other exchanges. These days almost everyone takes market data directly from each exchange and builds their own view of the market, so losing the consolidated feed wouldn't be a huge deal, except that it isn't clear what should happen to stay in compliance with Reg NMS when the consolidated feed is down.

kjackson2012 13y ago
Does "almost everyone" mean the retail brokerages, like E-trade, TDAmeritrade, etc, or just the HFTs, hedge funds, etc?
- cube13 13y ago
  Like chollida1 noted, it's more likely that pretty much everyone(even HFT outfits) are getting their data through one of the major providers like Bloomberg or Thomson Reuters. The real difference between HFTs, online retail brokerages, standard brokers, and others, is the quality of service for the data that they're consuming. The more current the data you're getting, the more expensive it is. That's why the tickers on CNBC or Fox Business are 20 minutes delayed-that data is effectively free at that point. For a HFT algo trading outfit, they're looking at buying the fastest, most expensive data, which is real-time full tick. That means that they're going to be getting every single quote and trade for a given instrument from the provider. I would imagine that the online brokerages are also consuming this data, because that would give them a slight edge with price matching for their clients. For normal day traders or brokers, they're probably using a terminal provided by their data provider(i.e. Bloomberg Terminal, Thomson Reuters Eikon, or Thomson One). Since these are human display apps, there's a lot more lag time allowed, typically in the hundreds of milliseconds to low single digit seconds. Here, the data is often conflated, so multiple quotes are combined to show the last known data state for the instrument. This saves on bandwidth and processing time, which is good if you're not colocated at the exchange.
  - enigmo 13y ago
    Even smaller (3-5 man) HFT shops I know of (and know people at) are typically building their own feeds directly off the exchange multicast feeds. When nanos matter nobody is going to trade on a consolidated feed.
chollida1 13y ago
> These days almost everyone takes market data directly from each exchange and builds their own view of the market, Minor nitpick here. What you say is correct if you are talking about say the top 50 trading entities in North America. Once you get to the regular hedge funds, pensions, or anyone who doesn't do heavy algo trading this is false. My guess is that its more like 99% of people who get live market data get it as a consolidated feed from Bloomberg, Thompson Reuters, Activ, etc and not from the individual exchanges. Heck even the funds I know that aggregate themselves still have consolidated feeds via their Bloomberg terminals. Market data is very expensive to get individually from the exchanges. In Canada for instance the TSX is $2500 for Level 1 quotes and an additional $3500 for the depth of book. NYSE is similar. To consolidate the US markets we can spend $50,000 a month. It's crazy how expensive it can be.
- minimax 13y ago
  Yes I probably shouldn't have made such a broad claim. Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF.
  - chollida1 13y ago
    > Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I think your probably right here, though I don't know for sure. > I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF. We've had both feeds and this jives with what our reps have told us. Both vendors are proud of their consolidated feed technology. And I've seen the size of one of bloomberg's tickering plants that is colo'd in Toronto. If they aren't building their own feed they have a lot of machines sitting around doing very little:)
    - anthony_barker 13y ago
      Reuters has RDF-D which is distributed. bloomberg has B-PIPE. Both are not as good as using an overpriced FPGA (redline, nova spark, etc) and parsing the data yourself.
consz 13y ago
For more clarification: Reg NMS is a regulation specifying that, if you want to buy a stock at price X, you must buy all shares available on all open markets (13 of them at the moment) at all prices better than X (and similarly for selling). The justification here is that if you are offering to sell at a price below X, you should have priority over anyone willing to sell at prices above or equal to X, allegedly to support price-time priority even across unconnected exchanges. Reg NMS is enforced by either having to listen to all 13 exchanges through a direct access feed, or through the consolidated UQDF (in the case of tape C stocks) feed. While a single exchange may go down, the UQDF feed serves as a backup for both privileged market participants and the general public, alike. Although I don't believe there is any definite rule in such a case, the UQDF feed being down eliminates both the backup for some firms and the primary feed for others, so Reg NMS may not be complied with -- this is why trading was shut down.
- minimax 13y ago
  This is a good description. I just have a couple of issues. "you must buy all shares available on all open markets (13 of them at the moment) at all prices better than X" This is almost correct, but not quite. The protected quote is only the price at the top of the book. For example, let's assume we want to buy something and we only have quotes available at BATS and Direct Edge. Lets say BATS is showing an offer of 500 shares at 10.00 and Direct Edge is showing 100 shares at 9.98 and another 100 shares at 9.99. If I send a routable order to buy 200 shares to BATS, they only have to route 100 shares to Direct Edge to hit the protected quote at 9.98. The remaining 100 shares can be immediately executed against the BATS quote at 10.00. At least that's my understanding of the order protection rule. "While a single exchange may go down, the UQDF feed serves as a backup for both privileged market participants and the general public, alike." When a single exchange goes down (or quotes are significantly delayed), other exchanges will declare "self-help" against that exchange which effectively means quotes from the troubled exchange are no longer protected. I've never heard of anyone using CQS/UQDF as a backup.
  - consz 13y ago
    CQS/UQDF is standard as a failover feed for HFT firms, at least ones I've worked at. You're right about how Reg NMS works for IOC's. For DAY orders, you must clear all shares at all prices equal to or better than X (in your case, you must be all shares on EDGA/EDGX at both 9.99, 9.98, AND 10.00).
mcphilip 13y ago
@nanexllc on twitter is probably worth following for analysis of what happened today. So far I've only seen one chart from Nanex, but it appears to be showing a breakdown of the NBBO in AAPL: http://www.nanex.net/aqck2/5094.html http://www.nanex.net/aqck2/5094.html
- minimax 13y ago
  Attempting to decipher those nanex charts without a detailed explanation of what they purport to show is a waste of time. I'm guessing here he's trying to show a stale quote (in red) at one of the exchanges after trading resumed in AAPL but who really knows.
makira 13y ago
More info here: http://www.zerohedge.com/news/2013-08-22/it-was-aapl-after-all http://www.zerohedge.com/news/2013-08-22/it-was-aapl-after-a... "Nanex, which also uncovered the real quote-stuffing reason behine the May 2010 flash crash (and which the SEC tried to pin squarely on Waddell and Reed) has just disclosed that Nasdaq was already demonstrating explicit "glitches" in the trading of Apple well ahead of the 12:21 pm trading halt."

by minimax 13y ago

kjackson2012 13y ago

Does "almost everyone" mean the retail brokerages, like E-trade, TDAmeritrade, etc, or just the HFTs, hedge funds, etc?

cube13 13y ago
Like chollida1 noted, it's more likely that pretty much everyone(even HFT outfits) are getting their data through one of the major providers like Bloomberg or Thomson Reuters. The real difference between HFTs, online retail brokerages, standard brokers, and others, is the quality of service for the data that they're consuming. The more current the data you're getting, the more expensive it is. That's why the tickers on CNBC or Fox Business are 20 minutes delayed-that data is effectively free at that point. For a HFT algo trading outfit, they're looking at buying the fastest, most expensive data, which is real-time full tick. That means that they're going to be getting every single quote and trade for a given instrument from the provider. I would imagine that the online brokerages are also consuming this data, because that would give them a slight edge with price matching for their clients. For normal day traders or brokers, they're probably using a terminal provided by their data provider(i.e. Bloomberg Terminal, Thomson Reuters Eikon, or Thomson One). Since these are human display apps, there's a lot more lag time allowed, typically in the hundreds of milliseconds to low single digit seconds. Here, the data is often conflated, so multiple quotes are combined to show the last known data state for the instrument. This saves on bandwidth and processing time, which is good if you're not colocated at the exchange.
- enigmo 13y ago
  Even smaller (3-5 man) HFT shops I know of (and know people at) are typically building their own feeds directly off the exchange multicast feeds. When nanos matter nobody is going to trade on a consolidated feed.

chollida1 13y ago

> These days almost everyone takes market data directly from each exchange and builds their own view of the market, Minor nitpick here. What you say is correct if you are talking about say the top 50 trading entities in North America. Once you get to the regular hedge funds, pensions, or anyone who doesn't do heavy algo trading this is false. My guess is that its more like 99% of people who get live market data get it as a consolidated feed from Bloomberg, Thompson Reuters, Activ, etc and not from the individual exchanges. Heck even the funds I know that aggregate themselves still have consolidated feeds via their Bloomberg terminals. Market data is very expensive to get individually from the exchanges. In Canada for instance the TSX is $2500 for Level 1 quotes and an additional $3500 for the depth of book. NYSE is similar. To consolidate the US markets we can spend $50,000 a month. It's crazy how expensive it can be.

minimax 13y ago
Yes I probably shouldn't have made such a broad claim. Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF.
- chollida1 13y ago
  > Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I think your probably right here, though I don't know for sure. > I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF. We've had both feeds and this jives with what our reps have told us. Both vendors are proud of their consolidated feed technology. And I've seen the size of one of bloomberg's tickering plants that is colo'd in Toronto. If they aren't building their own feed they have a lot of machines sitting around doing very little:)
  - anthony_barker 13y ago
    Reuters has RDF-D which is distributed. bloomberg has B-PIPE. Both are not as good as using an overpriced FPGA (redline, nova spark, etc) and parsing the data yourself.

consz 13y ago

For more clarification: Reg NMS is a regulation specifying that, if you want to buy a stock at price X, you must buy all shares available on all open markets (13 of them at the moment) at all prices better than X (and similarly for selling). The justification here is that if you are offering to sell at a price below X, you should have priority over anyone willing to sell at prices above or equal to X, allegedly to support price-time priority even across unconnected exchanges. Reg NMS is enforced by either having to listen to all 13 exchanges through a direct access feed, or through the consolidated UQDF (in the case of tape C stocks) feed. While a single exchange may go down, the UQDF feed serves as a backup for both privileged market participants and the general public, alike. Although I don't believe there is any definite rule in such a case, the UQDF feed being down eliminates both the backup for some firms and the primary feed for others, so Reg NMS may not be complied with -- this is why trading was shut down.

minimax 13y ago
This is a good description. I just have a couple of issues. "you must buy all shares available on all open markets (13 of them at the moment) at all prices better than X" This is almost correct, but not quite. The protected quote is only the price at the top of the book. For example, let's assume we want to buy something and we only have quotes available at BATS and Direct Edge. Lets say BATS is showing an offer of 500 shares at 10.00 and Direct Edge is showing 100 shares at 9.98 and another 100 shares at 9.99. If I send a routable order to buy 200 shares to BATS, they only have to route 100 shares to Direct Edge to hit the protected quote at 9.98. The remaining 100 shares can be immediately executed against the BATS quote at 10.00. At least that's my understanding of the order protection rule. "While a single exchange may go down, the UQDF feed serves as a backup for both privileged market participants and the general public, alike." When a single exchange goes down (or quotes are significantly delayed), other exchanges will declare "self-help" against that exchange which effectively means quotes from the troubled exchange are no longer protected. I've never heard of anyone using CQS/UQDF as a backup.
- consz 13y ago
  CQS/UQDF is standard as a failover feed for HFT firms, at least ones I've worked at. You're right about how Reg NMS works for IOC's. For DAY orders, you must clear all shares at all prices equal to or better than X (in your case, you must be all shares on EDGA/EDGX at both 9.99, 9.98, AND 10.00).

mcphilip 13y ago

@nanexllc on twitter is probably worth following for analysis of what happened today. So far I've only seen one chart from Nanex, but it appears to be showing a breakdown of the NBBO in AAPL: http://www.nanex.net/aqck2/5094.html http://www.nanex.net/aqck2/5094.html

minimax 13y ago
Attempting to decipher those nanex charts without a detailed explanation of what they purport to show is a waste of time. I'm guessing here he's trying to show a stale quote (in red) at one of the exchanges after trading resumed in AAPL but who really knows.

makira 13y ago

More info here: http://www.zerohedge.com/news/2013-08-22/it-was-aapl-after-all http://www.zerohedge.com/news/2013-08-22/it-was-aapl-after-a... "Nanex, which also uncovered the real quote-stuffing reason behine the May 2010 flash crash (and which the SEC tried to pin squarely on Waddell and Reed) has just disclosed that Nasdaq was already demonstrating explicit "glitches" in the trading of Apple well ahead of the 12:21 pm trading halt."