Level II quotes

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ether
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Level II quotes

Post by ether » Fri Sep 14, 2018 5:13 pm

Anyone know if there are brokers that provide true real time level II quotes (depth, ECN. and bid/ask) for american equities?
I've tried think or swim but they only give level II for a couple ECN.

jacob
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Re: Level II quotes

Post by jacob » Fri Sep 14, 2018 5:24 pm

Hooking up to an ECN is an expensive proposition (software engineering man-hours). Each use a protocol that's a little different so it's rare to be hooked to every single one (there are dozens if you include the dark pools---some of the largest companies even have internal crossing networks). Your alternative is the consolidated tape, but that's necessarily going to be slower because you miss all the latency for the combined feed. If that's really an issue, you should be looking at co-lo providers. There's no way a human is faster than the CT anyway. (Also, this latency/sniffing issue along with Reg NMS is why there are so many advanced orders these days, e.g. hidden, lit, etc.)

Are you building a rocket ship or something? I'm a bit confused as to why you want all this data in real time.

ether
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Re: Level II quotes

Post by ether » Fri Sep 14, 2018 6:27 pm

Thankfully I don't have enough capital that I could even think about co-lo or buying data streams from each ECN. I'm just looking for a semi live CT from a broker that doesn't charge $1000/month for the CT. So any brokers that provide a semi decent CT gratis and let you pick which ECN your trades are routed to?

jacob
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Re: Level II quotes

Post by jacob » Sat Sep 15, 2018 7:08 am

Hmm.. that I don't know (never looked into it). I could imagine some broker letting you select your ECN (e.g. if you want to be on BATS BYX) ... but I wouldn't know if they'd be showing you the CT (which they might not have?!) or the BYX book (which they definitely have and definitely would show). What I do know is that whatever ECN you're trading on, your trades would only(*) go through if they're hitting NBBO because of reg NMS... so basically, this would be a queue strategy.

Those queue strategies come in when brokers talk about how "advanced" their routing is. There is (unfortunately) another method to render a lot of this effort futile. Those are the advanced orders (inside, sliding, hidden, ... all that stuff). These live inside the matching engine.

(*) This is sort of true... trades can actually still go through but they're not supposed to and the ECN operator will get fined if they [accidentally] allow it, so basically they're taking a chance if they set their matching engines to be too aggressive (i.e. not waiting for the CT to confirm the NBBO).

PS: All this stuff is one of the reasons I quit finance. At this level all the inefficiency is essentially generated by regulations and various ways to get around it.

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