Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Sun, 05 May 2024 15:02:59 +0000
Post From: Question about Nasdaq totalview
| [2022-02-27 17:21:14] |
| 1+1=10 - Posts: 270 |
|
When you plot an intraday candle chart from the Nasdaq totalview feed, is it any different (OHLC values) than from a standard feed, such as broker supplied, iqfeed, barchart....?
Good question, indeed. Interactive brokers actually provides the ability to chart both the consolidated data feed using symbols with the format AAPL-STK-SMART-USD and also the exchange-specific feeds such as AAPL-STK-NASDAQ-USD, AAPL-STK-NYSE-USD, APPL-STK-IEX-USD, and so on. (You can also chose to trade AAPL specifically on a certain exchange by using such a symbol but most use IB's SMART routing which lets IB chose the exchange for you which is what happens with AAPL-STK-SMART-USD). If you check you'll see the prices of all these charts will be very close within cents. They have to be because all the exchanges are competing to be the exchange that the next trade happens on. As for the volume, in statistics there is the concept of a representative sample; the key question is this: Are the NASDAQ only volumes for equities highly correlated to the consolidated volumes? I suspect the answer is that they absolutely are; I also suspect the NASDAQ market depth is highly correlated to consolidated market depth. (Consolidated market depth is prohibitively expensive I'd imagine -- it is not sent to the SIPs so you'd have to subscribe to every single one of the dozen plus exchanges / alternative trading venues separately to get consolidated market depth.) From what I read, consolidated = more latency.
Yes, it takes time for the data to travel to the SIP from all the exchanges, be combined and then get sent back to the different data destinations. HFT firms tend to separately subscribe to each exchange they want to trade on for this reason. Date Time Of Last Edit: 2022-02-27 18:21:56
|