I am wondering what is the policy practiced by most exchanges from different market segments (FX, equities, futures, etc.) about the privacy implications of order identification in their market data feed. Let me explain the two options here:
- For each order streamed in their market data feed, there will be an account ID field that, although not capable of identifying exactly the company/entity that placed the order, will certainly offer some information that some might argue it would rather be kept private.
- For each order streamed in their market data feed, there will be no account ID field of any kind.
With option 1 the party receiving the feed is able to easily identify and filter its own orders from the market data feed.
With option 2 the party is not able to easily identify and filter its own orders. Other more complicated procedures must be done by the party in order to accomplish that.
Filtering your own orders is a desirable procedure for most parties since they would not want to act on their on liquidity. So my doubt is: do most exchanges choose to provide option 1 or option 2?
PS: This is most relevant for UDP multicast. For TCP, each party will have its own connection so it is trivial to provide this information without any privacy implications.