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Servers co-located at exchanges for the purposes of low latency algo trading would primarily listen to the exchange's feeds. The feeds would generally be disseminated via multicast on a fibre network. Certain exchanges charge a proximity fee based on the length of the fibre to the trading server and others make all the fibre cables equally long. The feeds ...

According to this video there are basically four kinds of messages available in the feeds: Order is added to the book Order is removed from the book Execution of an order displayed in the book Execution of an order not displayed in the book The speaker goes on to say that these messages are sufficient to reconstruct the publicly available market ...