Trading Halted in Nasdaq-Listed Securities Due to Technical Issue

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:)

Also, trading in any derivative that is based on any underlying in the feed will be very problematic because that's where the underlying spot price come from. Options trading for example were entirely shut down in those symbols while the feed was down.

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-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.

The low latency guys send ISO orders, which means that they are indicating that they have sent orders to hit any available protected quotes and the exchange can execute the order regardless of its view of the NBBO.

"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."

You're mixing up a lot of terms here. If you send a marketable order (limit or otherwise), you're removing liquidity, which on most exchanges means you'll pay a liquidity removal fee. If you send a non-marketable limit order, you're adding liquidity and at most exchanges you'll collect a rebate if your order fills.

In addition to what the others wrote... here's a simple description.

The UQDF is the top-of-book (best bid, best offer) for each RegNMS protected venue (e.g. exchanges) for Tape C tickers. [Tape C is NASDAQ-listed tickers, although confusingly UTP, which NASDAQ operates, stands for Unlisted Trading Privileges]. All orders at this top "level" are aggregated, so you only know the total number of shares there.

The direct feeds are generally "full depth-of-book" for an individual venue and not aggregated (although some feeds do), meaning you can see every individual displayed order at every price level.

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).

One thing to note is that many of the critical components on the electrical grid is controlled over the network. When I used to build tools for the electricity trading desk, we were handling market bids/asks and scheduling of the power plants.

Here's an example of the stuff that we were dealing with. This is the real time settlement point prices for ERCOT (the grid network in Texas): http://www.ercot.com/content/cdr/html/real_time_spp

We had systems that lay out prices that we were willing to turn on and ramp up power plants. If prices hit a certain point, we were committed to delivering that power. We made these decisions based on economics of the power plant (gas plant vs nuclear vs wind) and other factors (such as weather , time of day, whether the Cowboys were playing that day).

Anyways, my point is that all these systems are interconnected and rather complex. It doesn't take much for an error in one place to bring down a major part of the system.

Take a look at the 2003 Blackout: http://en.wikipedia.org/wiki/Northeast_blackout_of_2003

As with any engineering, you're never going to factor away all the breaks. You need to build a system that assume things will break and ensure that it's not catastrophic.

Also, I don't think it's fair to say that Wall Street doesn't understand software. There are some very smart people doing solid engineering there. Neither one of the footnotes that you had in your post support your statement that Wall St doesn't understand software.

I think it is fair to say that 99% of the problems are on the client side... at least, that is how I made my bonus ;)

I always loved it when 10@100 became 100@10.