Bootstrapping an Ultra Low Latency Trading Firm, Part 3.1

http://veyronb.wordpress.com/2011/08/06/bootstrapping-an-ultra-low-latency-trading-firm-part-3-1/

by veyron • 15 years ago

51 13 15 years ago

veyronb.wordpress.com

veyron6• 15 years ago

Kickstarter request for setting up platform to allow me to redistribute the market data: http://www.kickstarter.com/profile/proposals/83047

akronim• 15 years ago

I get a login screen from that link...

veyron6• 15 years ago

I see that now. Their statement is "We promise we'll get back to you as soon as we can. When we do, you'll receive notification." A proposal was submitted, and if its approved I will put an updated link. In the interim, putting a post saying that you would be interested in donating would help :)

Maro• 15 years ago

Is it legal to redistribute the feed?

veyron6• 15 years ago

You have to become vendor of record and that part is expensive (bleh)

apaprocki2• 15 years ago

Well, there are market data feeds, and then there are market data feeds. For example, say you want to write a program to look at all option data in North America. You can go pay for a full feed from OPRA. This requires over 1Gbps bandwidth from the exchange and processing power to handle over 5 million messages a second doing whatever it is you want to do with them.

I asked around back when the other HFT topics popped up and I believe a low-latency raw feed from Bloomberg would run somewhere in the $5k-$10k /month range depending on configuration before you tack on any fees the exchanges add for realtime vs delayed access per unique user. I'm curious whether startups actually want feeds like this, or say, would want to use a node.js async front-end on the SDK..

veyron6• 15 years ago

In my proposed solution, since I am already getting the feeds, I would only charge the incremental cost for additionally redistributing the data :)

apaprocki2• 15 years ago

I guess I just don't really understand what it is you are talking about setting up. Let's just limit this to NASDAQ.. NASDAQ requires a $14/seat exchange fee for non-professional users. If you, as a distributor don't control the entity receiving the data (you wouldn't in this case), then everyone receiving data from you would still need to sign with NASDAQ:

"All data feeds — including internally or externally distributed, real-time or delayed, snapshot or streaming — must be approved by NASDAQ OMX prior to initiation of service. This prior approval process creates a direct relationship between the Recipient and NASDAQ OMX. This direct relationship is essential in ensuring the correct display of the Information, an effective entitlement process and a timely reporting process of the market data usage."

http://www.nasdaqtrader.com/content/AdministrationSupport/Ag...

If this is not what you are planning on doing, could you be more specific about what you're talking about distributing? If you had 100 people that want the realtime feed, how would you handle bandwidth/equipment issues?

JoeAltmaier• 15 years ago

I'm an ultra low Frequency trader. Bought some index funds 5 years ago. Talk to my broker once a year. Recently got out of one fund, into another. Whoo hoo!

I need a product that notifies me if there's something I need to do, like deal with a bankruptcy or a fund is being discontinued and I need to reinvest. As it is, the process is a) receive half a dozen mailing each month about funds and b) throw them all away (too much information).

I know, my broker can deal with all that. So, can he be replaced? Yes, surely. Anybody got ideas?

veyron6• 15 years ago

If that data is available on the website, you could write a perl or python script to scrape the site.

snikolic• 15 years ago

Veyron, I wish you a fine recovery from the last few days. :-)

First off, I'd pay. Second, I'll donate as soon as the kickstarter page is up. Last, can you clarify what the granularity of the data would be? Are we just talking about closing prices, periodic price updates during the day (e.g. every 5 minutes), real-time, etc.?

veyron6• 15 years ago

It will be the realtime data, exactly as how I receive it. I will start with NASDAQ first, mainly because their contracts are the easiest to digest (and because their turnaround time is generally awesome). To familiarize yourself with the format, check out the ITCH 4.1 specification. It quite literally shows every event as it happens (their internal timestamps have nanosecond resolution and they send a message every time a person sends an order, cancels an order, or induces a trade. They also have special messages for trades against hidden orders, trade breaks -- when the exchange decides a trade was invalid -- and other miscellaneous information that you may choose not to use :).

I should note that I also inserted my timestamp (so you can see when we received the data)

Bootstrapping an Ultra Low Latency Trading Firm, Part 3.1

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