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If you look into the description of Nasdaq ITCH data, you see two types of order entries in the book: Message of Type A and F. Under type F, you will see the identity of the market participant (MPID). In other words, you know the firm that supplies liquidity. Why liquidity providers may disclose their identity? What are their motivation to do so? Do they get a higher maker fee?

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2 Answers 2

The two types of orders are called "Attributed" and "Non-Attributed". Venues will sometimes provide incentives to encourage order attribution. For example, Direct Edge has their "Edge Attribution Incentive Program" which you can read about on their price list.

I believe NASDAQ has offered incentives for attribution in the past, but I don't think they do with their current price list. Attribution is used, but I wouldn't say it is wide spread. For example, here is the list of MPIDs that show up in the NASDAQ ITCH feed on 2013-02-06 (A random date I snagged from our data store. Also, ignore tzero.)


tzero   CDRG    CANT    SBSH    BOOK    ADAM    FLTL    SALI    WEDB    CKCC    
ROTH    RILY    KING    MWRI    DOWL    MSRO    GLBL    EURP    RWPC    RHCO    
PRCO    JANY    NORT    CHLM    SOHO    AVON    SUSQ    PIPR    MSCO    ATDF    
MAXM    FBCO    OTAA    TMBR    ETMM    FBRC    BTIG    WCHV    IMCC    CRTC    
JPMS    GSCO    TRIM    RAJA    BARD    COWN    RBCM    HBIF    NITP    NEED    
VERT    LEHM    NITE    PERT    STFL    SUFI    XGWD    JEFF    MLCO    UBSS    
VFIN    BMOC    DRWS    JSSF    VNDM    MURF    WBLR    OPCO    KBWI    KELL    
PACS    DADA    DBAB    MERI    WABR    BERN    LAZA    PUMA    BBNT    BMUR    
DRCO    STXG    KEYB    SDLR    BKMM    SUNR    OCTG    INTL    MZHO    BOSC    
KOSE    DOTC    RONI    BNKS    AABA    LEER    INET    JPTC    LTCO    NTFN    
SPHN    MONR    BRUT    CWCO    IMPC    PAUL    WDCO    EGRO    SMHI    BARR    
WUND    COWL    FANC    TEJS    LAFC    FUND    AXGP    ALPS    NOBL    MACQ    
ROBT    BMAK    DLNY    AGIS    DAIN    MICA    BKRT    FSWC    ASCM    GRST    
PERS    SWEN    CCMB    CSTI    NQRE    TRWN    PENA    HAMR    SSGI    GLEN    
ACAP    VRTU    NQPM    BNCH    TRLN    NATL    WBRO    PMCI    CFGN    BCAP    

Finally, there might be some requirement to attribute your orders if you participate in NASDAQ's QMM or DLP program. You might check the detailed descriptions to see if there is. Ultimately, a firm is only going to attribute their order if (a) there is no downside to doing so; or (b) the upside, i.e. additional rebate or qualification, is significantly large to negate the downside.

ADDED: To expand on the above. If you look at the message statistics for the same day, 2013-02-06, you see the following for adding new orders:

ADD ORDER      : 92532210
ADD ORDER MPID : 3389849    <<--- this one is the attributed order

So you're looking at about a $3.7\%$ attribution rate for orders on this particular day.

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Thanks! that was very clear. Would you know why the MPID for trades on off-exchange (the ones that are reported to FINRA) are proprietary information? –  CharlesM Jan 21 '14 at 21:00
Not sure, sorry. –  Louis Marascio Jan 21 '14 at 21:12

My blog discusses this at length: https://mechanicalmarkets.wordpress.com/2015/02/16/protecting-client-interests-anonymity-in-us-equities/ . To quickly summarize, as Louis Marascio said, DirectEdge pays brokers to disclose their MPID. Another possible incentive is the broker trying to maximize their order's chance of execution; if by disclosing their MPID the market is alerted to an order having particularly low-alpha, then that order will be more likely to execute.

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