4 ms·

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 bet

by 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).
- Kranar 13y ago
  Nah the poster above you is right for all cases. Reg NMS only protects the top of book quote regardless of the time in force specification. Source is page 140 of the following SEC publication on Reg NMS: http://www.sec.gov/rules/final/34-51808fr.pdf http://www.sec.gov/rules/final/34-51808fr.pdf "Over our dissent, the majority voted to adopt Regulation NMS on April 6, 2005, approving a trade-through rule protecting quotations at the ‘‘top of book.’’"

by minimax 13y ago

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).

Kranar 13y ago
Nah the poster above you is right for all cases. Reg NMS only protects the top of book quote regardless of the time in force specification. Source is page 140 of the following SEC publication on Reg NMS: http://www.sec.gov/rules/final/34-51808fr.pdf http://www.sec.gov/rules/final/34-51808fr.pdf "Over our dissent, the majority voted to adopt Regulation NMS on April 6, 2005, approving a trade-through rule protecting quotations at the ‘‘top of book.’’"