Good knowledge for my interviews ..
Incoming feeds from NYSE, Bats etc, since they all contribute to the CTS/CQS.
- NYSE Bonds feed — TCP
-  NYSE classic/American/Arca openbook,
-  NYSE classic/American/Arca integrated
-  NYSE (containing classic/American/Arca) BQT i.e. Best-Quote-n-Trade
-  NYSE RealTime-Reference-Prices, last updated 2012
-  NYSE-MKT-openbook-ultra is new as of 2018
Previously, a single company could have many different ticker symbols as they varied between the dozens of individual stock markets.
Today, Daimler AG stock trades on twenty-two different stock exchanges, and is priced in five different currencies; it has the same ISIN on each (DE0007100000), though not the same ticker symbol.
–For trade identification
In this case, ISIN cannot specify a particular trade, and another identifier (typically the three- or four-letter exchange code such as the Market Identifier Code) will have to be specified in addition to the ISIN.
–For price identification
The general public would want the price for an ISIN, while traders may want the price for a ticker symbol on one (or a few) liquidity venues.
Symbol ticker is typically 1 to 4 chars, though numbers are often used in Asia such as HKSE. We can call it
Symbols are sometimes reused. In the US the single-letter symbols are particularly sought after as vanity symbols. For example, since Mar 2008 Visa Inc. has used the symbol V that had previously been used by Vivendi which had delisted
A major stock exchange’s job spec mentions that the exchange actually runs an internal SOR.
I thought only trading houses maintain SOR. Now I know that when an order (probably a market order) hits a stock exchange NDQ, NDQ may need to route it somewhere else. My friend Alan said all 13 U.S. exchange receive a live NBBO feed. Based on that, ABC can “forward” the order to the “best” venue.
There was a requirement that within 90 seconds, any execution on any online or traditional broker system need to be reported to the “official” exchange. For each listed security, there’s probably a single “official” listing exchange.
Take IBM for example.
- On NYSE, executions only take place after 9.30am, usually after an opening auction.
- On-line electronic brokers operate 24/7 so an execution could happen and get reported any time. However, NYSE data feed only publishes it after 4am by right. I don’t know how strict this timing is. If your feed shows it before 4am I guess you are free to discard it. Who knows it might be a test message.
I could imagine that u.s. exchanges are more advanced in terms of trading rules, operational complexity, matching engine, order types … because presumably u.s. exchanges have more volume and more variations in securities. It’s like a bigger, older hospital is more sophisticated since it has treated many more patients.
On the other hand, I read more than once (over the last 7 years) that in terms of pure latency the bigger exchanges in the U.S. are often slower, but only moderately, so everything still works fine. I don’t know any capacity concerns on the horizon. Some of the smaller exchanges in Asia were aggressive to beat the bigger exchanges on latency. World #1 fastest exchange is now Bombay.
There are various order types usable before the 9.30 opening auction (and also before a halted security comes back). We might receive these orders in the Level 2 feed. I guess the traders use those orders to test the market before trading starts. Most of these orders can be cancelled, since there’s no execution.
The Imbalance data is a key feature by the exchange auction engine, and possibly very valuable to traders. It has
- indicative match price, which at 9.30 becomes final match price
- imbalance at that match price
The auction engine looks at all the orders placed and works out an optimal match price to maximize execution volume. Traders would monitor that value published by exchange, and adjust their orders. This adjustment would be implemented in an execution algorithm.
In one major market data provider, there are 20 to 30 million “instruments”, mostly derivatives. Globally there are more than 300,000 stocks on various trading venues, as of 2017.
This site aggregates 300 to 400 “sources”. Each source could be a data feed or a distinct trading venue. For example, Nyse has at least 3 independent trading venues — nyse classic, Arca and Amex.
As of Apr 2018, all 8600 stocks and ETFs listed in the US are now tradable on NYSE. Until now, trading at the venerable exchange was limited to the roughly 3,150 securities listed on the NYSE.
For some time BATS was very popular, but I’m not sure if made it to top 3.
Required nlg — NYSE operates four exchanges
- Arca: 4 multicast streams
- American: 8 multicast streams
- NYSE classic: 4 multicast streams
- NYSE National? Acquired in 2017, to be relaunched in 2018