

Trading Halted in Nasdaq-Listed Securities Due to Technical Issue - tomorgan
http://blogs.wsj.com/moneybeat/2013/08/22/nasdaq-halts-all-nasdaq-listed-securities-due-to-trading-issue/

======
minimax
It sounds like NASDAQ is having a problem with the Tape C consolidated feed
(which they administer). Here's some good places to watch for updates:

[http://www.nasdaqtrader.com/Trader.aspx?id=MarketSystemStatu...](http://www.nasdaqtrader.com/Trader.aspx?id=MarketSystemStatus)

[http://markets.nyx.com/nyse/market-
status](http://markets.nyx.com/nyse/market-status)

[http://www.batstrading.com/alerts/](http://www.batstrading.com/alerts/)

[https://www.directedge.com/Alerts.aspx](https://www.directedge.com/Alerts.aspx)

edit: Notes for people trying to understand the jargon. The UTP SIP is the
consolidated feed for Tape C (i.e. NASDAQ listed) securities. In this case,
the feed is composed of two parts: UTDF and UQDF. The UTDF is a feed of last
sale prices and the UQDF is the feed of the best quotes from the various U.S.
equity exchanges. It sounds like the problem is with the quote feed (UQDF).
That's why they've halted trading on NASDAQ listed equities at all the other
exchanges.

These days almost everyone takes market data directly from each exchange and
builds their own view of the market, so losing the consolidated feed wouldn't
be a huge deal, except that it isn't clear what should happen to stay in
compliance with Reg NMS when the consolidated feed is down.

~~~
chollida1
> These days almost everyone takes market data directly from each exchange and
> builds their own view of the market,

Minor nitpick here. What you say is correct if you are talking about say the
top 50 trading entities in North America. Once you get to the regular hedge
funds, pensions, or anyone who doesn't do heavy algo trading this is false.

My guess is that its more like 99% of people who get live market data get it
as a consolidated feed from Bloomberg, Thompson Reuters, Activ, etc and not
from the individual exchanges.

Heck even the funds I know that aggregate themselves still have consolidated
feeds via their Bloomberg terminals.

Market data is very expensive to get individually from the exchanges. In
Canada for instance the TSX is $2500 for Level 1 quotes and an additional
$3500 for the depth of book.

NYSE is similar. To consolidate the US markets we can spend $50,000 a month.
It's crazy how expensive it can be.

~~~
noname123
Thanks for the breakdown, I have a few questions:

1) What are the advantages of getting separate feeds from BATS/EDGEX etc.
instead of using the consolidated then?

Is it because of the slight differences in matching mechanisms and priority
queue in the different exchanges' orderbooks? But how can you get a
competitive advantage if RegNMS forces exchanges to execute you at NBBO
anyways.

2) Another question I have is, let's say I send a DMA marketable limit order
to BATS specifically to get the liquidity rebate fees and because there's a
price improvement for that marketable order; BATS is obligated to re-direct my
order to ARCA, do I still get to collect the rebate fee structure from BATS or
is that order technically under the fee structure of ARCA.

EDIT:

> Once you get to the regular hedge funds, pensions, or anyone who doesn't do
> heavy algo trading

You are correct that most hedge funds and pensions probably don't trade on HFT
strategies. But some of them execute their bulk orders on HFT platforms
through integrations via whatever OMS they use. So instead of market-making,
liquidity rebates and stat arb strategies, institutions use iceberg, hidden
vwap orders to execute their bulk orders at opportunistic times; their bulk
order execution algo does analyze the depth of orderbooks to determine the
level of aggressiveness of their orders and also leverage co-location for fast
execution.

~~~
chollida1
> 1) What are the advantages of getting separate feeds from BATS/EDGEX etc.
> instead of using the consolidated then?

EDIT: Sorry I misinterpreted the question I think. I was answering why not use
the bloomberg feed over the TAPE C feed.

In the case of why get exchange feeds directly rather than the consolidated
feed , the answer as far as I know is "Peeking". The exchanges let HFT see
orders for up to 30 milliseconds before the general public does. As far as I
know TAPE C doesn't give you these "peeks".

See:

[http://seekingalpha.com/article/694931-the-new-high-
frequenc...](http://seekingalpha.com/article/694931-the-new-high-frequency-
trading-landscape-man-versus-machine)

In the case of getting a consolidated feed from say bloomberg, the data flow
is:

EXCHANGE -> BLOOMBERG -> BLOOMBERG OPTIONALLY MIXES IN OTHER DATA(VWAP, etc)
-> YOUR SERVER

if you get the data from the exchange it looks like:

EXCHANGE -> YOUR SERVER

so timing. Each exchange takes a slightly different amount of time to publish
their quote so if you colocate at multiple exchanges you can respond a bit
quicker to each of them than if you wait for the consolidated quote to come
from a third party.

> 2) Another question I have is, let's say I send a DMA marketable limit order
> to BATS specifically to get the liquidity rebate fees and because there's a
> price improvement for that marketable order; BATS is obligated to re-direct
> my order to ARCA, do I still get to collect the rebate fee structure from
> BATS or is that order technically under the fee structure of ARCA.

TO be honest I'm not entirely sure as I deal more with the Canadian markets,
but here the fees are payable where the trade executes.

I'd be surprised if BATS paid you for taking/providing liquidity on another
market:)

I don't want to present myself as an expert in the US financial markets. I'm
responsible for trading technology for a hedge so its my job to know as much
as I can but the only universal truth I've found is that no one fully
understand how the whole system works.

~~~
resu
1) The consolidated feeds are CTA/UTP (legally mandated committees,
[http://en.wikipedia.org/wiki/National_market_system_plan](http://en.wikipedia.org/wiki/National_market_system_plan))
, not Bloomberg. Yes, Bloomberg can provide a similar feed and probably does
with some enrichment, but you do not reference the NBBO (National best bid &
offer) from a Bloomberg feed.

Also, you do not need to colocate your server to receive a direct feed from
the exchange. Anyone with an internet connection and some spare cash can get a
direct feed. Anyone that can afford to pay for colo space can also get the
feed pretty much instantly (limited by the speed of light).

There is no such thing as letting HFT (what's that?) see orders up to 30ms
before, not anymore. Colos are a pain in the ass to manage and cost an arm and
a leg, so if you're not in the microsecond and nanosecond race, there's little
benefit in paying for colo space. So yes, the ethics can be argued, but these
firms are simply paying rent for some space.

Anyone willing to pay the same rent can get the same 'speed improvement'.
Retail investors and most hedge funds don't need this speed because they do
not have the infrastructure, talent base, or capital to build a trading system
that would make any money off of the minimal speed advantage. People argue all
this ultra low latency stuff adds liquidity to the market, but I think in the
end it's just creating noise and scaring away people that don't understand how
the speed is used in the market.

Technologically, Canada is stuck in the stone age compare to what's going on
in the states, and I think that's actually a good thing (Canadian working in
the states).

To summarize, the advantages are: speed, more speed(colo), and arbitration
opportunities against those that just rely on consolidated feeds.

~~~
Kranar
You can not receive the exchanges market data over the Internet. You must be
co-located at one of the data centers with an available cross connect to the
exchange.

Also how is Canada in the stone age technologically? The TMX provides far more
direct access to various technologies that are not available by any of the
exchanges in the U.S. such as native smart order routers, TMX's native pre-
trade risk checks (Mantara) which was a regulatory requirement added back in
March to prevent any kind of fat finger mistake or flash crash, and a host of
technologies built right into the exchange.

The consolidated market data products available on the TMX are also much more
comprehensive than the ones in the U.S., for example in the U.S. all you get
are the consolidated last sale (CTS) and consolidated top of book (CQS), in
Canada the TMX provides those via the CLS and CBBO but in addition it also
provides the consolidated depth of book via the CDF feeds.

~~~
resu
Yes you can. Anyone willing to write a feed handler for these feeds can. For
example,
[https://www.nasdaqtrader.com/Trader.aspx?id=totalview](https://www.nasdaqtrader.com/Trader.aspx?id=totalview)
and [http://www.nyxdata.com/openbook](http://www.nyxdata.com/openbook). As
kasey_junk mentioned, availability is on an exchange basis, so I'm not sure if
all exchanges provide this service.

I was talking about the sophistication of low latency trading in Canada and
that only. In the states, there aren't a ton of exchanges and ETN and dark
pools, with different matching engine rules and all that crap. If I am a
sophisticated low latency firm, I wouldn't want any exchange added 'extras' to
get in the way.

IMHO, I think retail investors are better served and have less chance of being
thrown on a roller coaster ride by runaway algos in Canada compared to the
U.S., and that's a good thing.

~~~
Kranar
Both links you provided are not products that are available over the Internet
from NASDAQ. Both TotalView and OpenBook are multicast feeds that are strictly
disseminated to a small handful of data centers, the most notable of which is
NY4.

You need to cross connect from your local network onto NYSE's or NASDAQ's
network to receive that data.

------
the-swa
Security flaws in financial institutions has got to be one of my greatest
fears. Wall street doesn't understand software[0][1] yet they rely so heavily
on it with algorithmic trading[2]. The day that something goes terribly wrong,
they're going to have no idea what happened...

[0] [http://www.wired.com/threatlevel/2008/09/six-year-old-
st/](http://www.wired.com/threatlevel/2008/09/six-year-old-st/) [1]
[http://www.vanityfair.com/business/2013/09/michael-lewis-
gol...](http://www.vanityfair.com/business/2013/09/michael-lewis-goldman-
sachs-programmer) [2]
[http://www.ted.com/talks/kevin_slavin_how_algorithms_shape_o...](http://www.ted.com/talks/kevin_slavin_how_algorithms_shape_our_world.html)

~~~
kasey_junk
You could say the same thing about the energy grid, our military, etc. Not
that you are wrong, but Wall Street melting down is way easier to back out of
than a nuclear plant.

~~~
the-swa
Agreed, but it would also vary by the nature of the hackers' intent. With the
current global economy, taking down Wall Street would create an immediate
impact worldwide and would have long term rippling effects. Hacking into and
disrupting a power grid could do the same, but is heavily dependent upon
location and timing, no? Maybe I just don't know enough about how the power
grid works.

Granted, if we're talking about physically destroying infrastructure as
opposed to just hacking, then I'd have to agree with you.

~~~
tazzy531
The electricity grid is also extremely complicated system that many people
don't understand. With any complex system, it grows to beyond the knowledge of
the people working in it.

One thing to note is that many of the critical components on the electrical
grid is controlled over the network. When I used to build tools for the
electricity trading desk, we were handling market bids/asks and scheduling of
the power plants.

Here's an example of the stuff that we were dealing with. This is the real
time settlement point prices for ERCOT (the grid network in Texas):
[http://www.ercot.com/content/cdr/html/real_time_spp](http://www.ercot.com/content/cdr/html/real_time_spp)

We had systems that lay out prices that we were willing to turn on and ramp up
power plants. If prices hit a certain point, we were committed to delivering
that power. We made these decisions based on economics of the power plant (gas
plant vs nuclear vs wind) and other factors (such as weather , time of day,
whether the Cowboys were playing that day).

Anyways, my point is that all these systems are interconnected and rather
complex. It doesn't take much for an error in one place to bring down a major
part of the system.

Take a look at the 2003 Blackout:
[http://en.wikipedia.org/wiki/Northeast_blackout_of_2003](http://en.wikipedia.org/wiki/Northeast_blackout_of_2003)

As with any engineering, you're never going to factor away all the breaks. You
need to build a system that assume things will break and ensure that it's not
catastrophic.

Also, I don't think it's fair to say that Wall Street doesn't understand
software. There are some very smart people doing solid engineering there.
Neither one of the footnotes that you had in your post support your statement
that Wall St doesn't understand software.

------
PaulHoule
For once, this headline understates the story. My first thought was "Why does
this belong on hacker news" because they stop trading specific securities all
the time. But a system crash is another thing.

------
excitom
"UPDATE 3: CNBC reports the Securities and Exchange Comission is monitoring
the situation."

Wow, CNBC, what would we do without your valuable insight?

------
MisterWebz
What's up with all the technical issues and outages lately? Has there been an
increase or is it because we're paying more attention to it?

~~~
consz
How many are there? AFAIK the last technical issue was a NASDAQ break during
the FB IPO, which was a little over a year ago. One severe error per year is
not a lot, I think.

------
photorized
Google had an outage a couple of days ago, so did Amazon. Now this.

Interesting timing.

------
pwniekins
OH GOD WHAT IS HUMANITY GOING TO DO IF THE STOCK MARKET GOES OFFLINE!?!?

Keep it down. Fucking good riddance.

~~~
jscheel
Well, to be fair, your life would probably suck pretty hard if the market was
to stay offline. Tis the world we inhabit :)

