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> 1) What are the advantages of getting separate feeds from BATS/EDGEX etc. instead of using the consolidated then? EDIT: Sorry I misinterpreted the question I

> 1) What are the advantages of getting separate feeds from BATS/EDGEX etc. instead of using the consolidated then? EDIT: Sorry I misinterpreted the question I think. I was answering why not use the bloomberg feed over the TAPE C feed. In the case of why get exchange feeds directly rather than the consolidated feed , the answer as far as I know is "Peeking". The exchanges let HFT see orders for up to 30 milliseconds before the general public does. As far as I know TAPE C doesn't give you these "peeks". See: http://seekingalpha.com/article/694931-the-new-high-frequency-trading-landscape-man-versus-machine http://seekingalpha.com/article/694931-the-new-high-frequenc... In the case of getting a consolidated feed from say bloomberg, the data flow is: EXCHANGE -> BLOOMBERG -> BLOOMBERG OPTIONALLY MIXES IN OTHER DATA(VWAP, etc) -> YOUR SERVER if you get the data from the exchange it looks like: EXCHANGE -> YOUR SERVER so timing. Each exchange takes a slightly different amount of time to publish their quote so if you colocate at multiple exchanges you can respond a bit quicker to each of them than if you wait for the consolidated quote to come from a third party. > 2) Another question I have is, let's say I send a DMA marketable limit order to BATS specifically to get the liquidity rebate fees and because there's a price improvement for that marketable order; BATS is obligated to re-direct my order to ARCA, do I still get to collect the rebate fee structure from BATS or is that order technically under the fee structure of ARCA. TO be honest I'm not entirely sure as I deal more with the Canadian markets, but here the fees are payable where the trade executes. I'd be surprised if BATS paid you for taking/providing liquidity on another market:) I don't want to present myself as an expert in the US financial markets. I'm responsible for trading technology for a hedge so its my job to know as much as I can but the only universal truth I've found is that no one fully understand how the whole system works.

noname123 13y ago
Thanks chollida for your answers and good luck with your trading platform; and hopefully, your account accrued more profits during the halt and beyond.
resu 13y ago
1) The consolidated feeds are CTA/UTP (legally mandated committees, http://en.wikipedia.org/wiki/National_market_system_plan http://en.wikipedia.org/wiki/National_market_system_plan) , not Bloomberg. Yes, Bloomberg can provide a similar feed and probably does with some enrichment, but you do not reference the NBBO (National best bid & offer) from a Bloomberg feed. Also, you do not need to colocate your server to receive a direct feed from the exchange. Anyone with an internet connection and some spare cash can get a direct feed. Anyone that can afford to pay for colo space can also get the feed pretty much instantly (limited by the speed of light). There is no such thing as letting HFT (what's that?) see orders up to 30ms before, not anymore. Colos are a pain in the ass to manage and cost an arm and a leg, so if you're not in the microsecond and nanosecond race, there's little benefit in paying for colo space. So yes, the ethics can be argued, but these firms are simply paying rent for some space. Anyone willing to pay the same rent can get the same 'speed improvement'. Retail investors and most hedge funds don't need this speed because they do not have the infrastructure, talent base, or capital to build a trading system that would make any money off of the minimal speed advantage. People argue all this ultra low latency stuff adds liquidity to the market, but I think in the end it's just creating noise and scaring away people that don't understand how the speed is used in the market. Technologically, Canada is stuck in the stone age compare to what's going on in the states, and I think that's actually a good thing (Canadian working in the states). To summarize, the advantages are: speed, more speed(colo), and arbitration opportunities against those that just rely on consolidated feeds.
- Kranar 13y ago
  You can not receive the exchanges market data over the Internet. You must be co-located at one of the data centers with an available cross connect to the exchange. Also how is Canada in the stone age technologically? The TMX provides far more direct access to various technologies that are not available by any of the exchanges in the U.S. such as native smart order routers, TMX's native pre-trade risk checks (Mantara) which was a regulatory requirement added back in March to prevent any kind of fat finger mistake or flash crash, and a host of technologies built right into the exchange. The consolidated market data products available on the TMX are also much more comprehensive than the ones in the U.S., for example in the U.S. all you get are the consolidated last sale (CTS) and consolidated top of book (CQS), in Canada the TMX provides those via the CLS and CBBO but in addition it also provides the consolidated depth of book via the CDF feeds.
  - kasey_junk 13y ago
    In some exchanges you can get market data from a vendor who is co-located with the exchange via the Internet. Some exchanges don't allow this, some do.
  - resu 13y ago
    Yes you can. Anyone willing to write a feed handler for these feeds can. For example, https://www.nasdaqtrader.com/Trader.aspx?id=totalview https://www.nasdaqtrader.com/Trader.aspx?id=totalview and http://www.nyxdata.com/openbook http://www.nyxdata.com/openbook. As kasey_junk mentioned, availability is on an exchange basis, so I'm not sure if all exchanges provide this service. I was talking about the sophistication of low latency trading in Canada and that only. In the states, there aren't a ton of exchanges and ETN and dark pools, with different matching engine rules and all that crap. If I am a sophisticated low latency firm, I wouldn't want any exchange added 'extras' to get in the way. IMHO, I think retail investors are better served and have less chance of being thrown on a roller coaster ride by runaway algos in Canada compared to the U.S., and that's a good thing.
    - Kranar 13y ago

noname123 13y ago

Thanks chollida for your answers and good luck with your trading platform; and hopefully, your account accrued more profits during the halt and beyond.

resu 13y ago

1) The consolidated feeds are CTA/UTP (legally mandated committees, http://en.wikipedia.org/wiki/National_market_system_plan http://en.wikipedia.org/wiki/National_market_system_plan) , not Bloomberg. Yes, Bloomberg can provide a similar feed and probably does with some enrichment, but you do not reference the NBBO (National best bid & offer) from a Bloomberg feed. Also, you do not need to colocate your server to receive a direct feed from the exchange. Anyone with an internet connection and some spare cash can get a direct feed. Anyone that can afford to pay for colo space can also get the feed pretty much instantly (limited by the speed of light). There is no such thing as letting HFT (what's that?) see orders up to 30ms before, not anymore. Colos are a pain in the ass to manage and cost an arm and a leg, so if you're not in the microsecond and nanosecond race, there's little benefit in paying for colo space. So yes, the ethics can be argued, but these firms are simply paying rent for some space. Anyone willing to pay the same rent can get the same 'speed improvement'. Retail investors and most hedge funds don't need this speed because they do not have the infrastructure, talent base, or capital to build a trading system that would make any money off of the minimal speed advantage. People argue all this ultra low latency stuff adds liquidity to the market, but I think in the end it's just creating noise and scaring away people that don't understand how the speed is used in the market. Technologically, Canada is stuck in the stone age compare to what's going on in the states, and I think that's actually a good thing (Canadian working in the states). To summarize, the advantages are: speed, more speed(colo), and arbitration opportunities against those that just rely on consolidated feeds.

Kranar 13y ago
You can not receive the exchanges market data over the Internet. You must be co-located at one of the data centers with an available cross connect to the exchange. Also how is Canada in the stone age technologically? The TMX provides far more direct access to various technologies that are not available by any of the exchanges in the U.S. such as native smart order routers, TMX's native pre-trade risk checks (Mantara) which was a regulatory requirement added back in March to prevent any kind of fat finger mistake or flash crash, and a host of technologies built right into the exchange. The consolidated market data products available on the TMX are also much more comprehensive than the ones in the U.S., for example in the U.S. all you get are the consolidated last sale (CTS) and consolidated top of book (CQS), in Canada the TMX provides those via the CLS and CBBO but in addition it also provides the consolidated depth of book via the CDF feeds.
- kasey_junk 13y ago
  In some exchanges you can get market data from a vendor who is co-located with the exchange via the Internet. Some exchanges don't allow this, some do.
- resu 13y ago
  Yes you can. Anyone willing to write a feed handler for these feeds can. For example, https://www.nasdaqtrader.com/Trader.aspx?id=totalview https://www.nasdaqtrader.com/Trader.aspx?id=totalview and http://www.nyxdata.com/openbook http://www.nyxdata.com/openbook. As kasey_junk mentioned, availability is on an exchange basis, so I'm not sure if all exchanges provide this service. I was talking about the sophistication of low latency trading in Canada and that only. In the states, there aren't a ton of exchanges and ETN and dark pools, with different matching engine rules and all that crap. If I am a sophisticated low latency firm, I wouldn't want any exchange added 'extras' to get in the way. IMHO, I think retail investors are better served and have less chance of being thrown on a roller coaster ride by runaway algos in Canada compared to the U.S., and that's a good thing.
  - Kranar 13y ago