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6

You don't just simply grab some random open source order book implementation and expect it to work. Every market is different. For example, markets have different rules for how you should handle priority in the order book (some are price-time, some are price-size-time, etc). Grabbing Joe Blow's code and expecting it to just work is only going to lead to pain ...


5

I can think of 3 reasons: 1) Queue position 2) To be on the other side when an alogrithm has a disastrous error, which happens quite often on singular stocks and doesn't get reported (but someone will get fined) . I've seen cases where the price will drop over 99% almost instantaneously. For this to occur a backfiring algo will clear out the entire bid ...


4

Repeating groups are a way for FIX to represent arrays. A "number of" field prepends the repeating group to alert the recipient how many elements to expect. For example, Arca uses TradingSessionID (tag 336) to identify pre-open (P1), primary (P2), and post-close (P3) market hours. This group is prepended by NoTradingSessions (tag 386). So, I would use the ...


3

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 ...


3

An un-marketable limit order (buy limit price is < lowest offer, sell limit price is > highest bid) that has a time in force allowing it to be placed onto a matching engine's limit order book. It is said to "rest" on the book. If the time in force is Immediate or Cancel and the order is unmarketable, it is canceled back to the participant unfilled.


3

Your first definition is wrong; I'm not sure where you got that from. Your second definition is correct: the ISO alerts the exchange that the submitting party has taken responsibility for RegNMS and requests a fill at only that venue's price; there is no routing away. Obviously, there is a huge red-tape burden to get permission to do this.


2

As someone pointed out, most times you do not have a choice because how the order book is disseminated heavily depends on the exchange. In Asia there are exchanges that even show the name of the counter party (though only aggregate volume not each order). Other exchanges provide a full "view", again others price level aggregates. Broadly speaking, some ...


2

I was able to identify significant participants by order size on CME exchange. I think ITCH is even more informative that CME's data format. The trick is to learn very closely the incremental data and the order in which this data arrives. We can assume that exchange's Matching Engine and its market data distribution algorithm are programmed machines, ...


2

Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let $\lambda_{emp}(\delta)$ be the empirical distribution. Then one can define a metric by $$ m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)| $$ After you have decided upon a suitable ...


1

They are both just partial reflections (not including the order book) of the real process that happens in exchange. If you want to answer the question yourself, it's essential to learn how Exchange's Matching Engines work. The real underlying information is what enters into the matching engine (what traders send to it). For the sake of simplicity, there are ...


1

These are two separate and distinct pieces of data. The relative "advantage" or "disadvantage" of one over another is entirely up to you and your model, not some rule of thumb. Each data set provides "one half", if you will, of the view of the market. Quotes tell you what passive participants are willing to do. They are, in effect, an indication of interest ...


1

It depends on your goal. Suppose we have a stock whose top-of-book quotes show far more size on the bid than on the ask. If you want the weighted mid to reflect sentiment at this moment, then certainly the market participants agree that the fair price is less than the mid. However, if you assume that these participants are informed market makers and your ...


1

No, it doesn't have to do with time frames. It's a protocol feature designed to enable something akin to nested data, whether for more compact data transmission, or just to allow one to adhere to rules of semantic sense. Take market data requests, for example, i.e. retrieving the current market depth for a certain instrument. Not only would sending one ...



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