Colocated Market Data Feeds and Low-Latency Exchange Access
Summary
The document explains what trading servers colocated at an exchange can receive and how they may subscribe to those feeds. Exchange data is commonly distributed over fibre using multicast, with subscriptions selectable by feed group or partition; TCP feeds may allow security-level selection. Exchanges differ in feed access and network arrangements, including proximity pricing or equalized cable lengths. External data can also be brought into the colocation space when a strategy needs it.
For low-latency market data, the answer describes native protocols such as ITCH as more typical than FIX, while noting exceptions and evolving standards. Private order messages may use exchange-native protocols that resemble FIX concepts such as new-order and execution-report messages. A second answer says public order-book information can be reconstructed from messages for orders added or removed and executions, including executions not displayed in the book. These are general observations from the cited answers; exact feeds, protocols, entitlements, and message coverage vary by exchange and are not comprehensively specified.
Key ideas
- Colocated trading servers commonly consume exchange market data feeds over fibre networks.
- Multicast subscriptions can be selected by feed group or partition, while TCP feeds may permit security-level selection.
- Low-latency market data often uses native protocols such as ITCH rather than FIX.
- Order additions, removals, and executions can provide the messages needed to reconstruct publicly available order-book information.
- Feed design, protocol availability, and access arrangements vary across exchanges.
Tags
Full text
# What information do stock exchange colocated servers have access to? # What information do stock exchange colocated servers have access to? In high frequency and low latency trading, decisions are done on the spot by servers colocated in stock exchanges. This implies that those servers have immediate access to the information they need to take decisions right at the stock exchange. What data feeds do these servers have access to on-site? Is it all provided by the stock exchange? Does everyone receive the same bulk data, or are the feeds customisable? Is there a prevalent delivery system, such as the FIX protocol, for all feeds? ## Answer by Vaughan Lund (score 4, accepted) https://quant.stackexchange.com/a/4332 Servers co-located at exchanges for the purposes of low latency algo trading would primarily listen to the exchange's feeds. The feeds would generally be disseminated via multicast on a fibre network. Certain exchanges charge a proximity fee based on the length of the fibre to the trading server and others make all the fibre cables equally long. The feeds would generally use a low latency protocol such as ITCH. Obviously if the algo requires certain financial indicators it can fed to the server via external feeds into the co-location space. If multicast feeds are used the feed can be subscribed to on a router / software level at a multicast group level. If the exchange disseminates Level 1 on 1 multicast group and Level 2 on a separate group, you can elect only to receive Level 2. This can also be on a partition level. If TCP is used feeds can be subscribed to on a security level. FIX market feeds are generally never used for low latency trading. Certain exchanges such as the LSE however do provide Level 1 in FIX using FAST. Even though still owned by the NYSE, ITCH is becoming a prevalent standard in exchange level market feed data dissemination. Other feeds such as the FTSE index feed are gravitating toward FIX over FAST. On the private message flow side there is definitely a move towards standardizing the message flow to approximate FIX even if it uses a native protocol for speed. Ie All new exchange trading systems will generally always have a New Order message that results in an Execution report being returned. Look at the JSE just gone live or Eurex system going live in December. Both have native layer that maps very easily to FIX. ## Answer by Randomblue (score 1) https://quant.stackexchange.com/a/4359 According to this video there are basically four kinds of messages available in the feeds: - Order is added to the book - Order is removed from the book - Execution of an order displayed in the book - Execution of an order not displayed in the book The speaker goes on to say that these messages are sufficient to reconstruct the publicly available market information.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.