Stock and Options Feed Size Reduction (and when we queue up quotes) - SpiderRock/SRDataFeed GitHub Wiki

SpiderRock mitigates the bandwidth and processing load required of the raw consolidated stock and options feeds published by the OPRA, CTA, and UTP SIPs (Security Industry Processors). This is accomplished by a reduction in the size and number of messages delivered over our normalized feeds as follows:

  1. Levels of quotes

We only publish the NBBO and 2nd level quotes.

  1. Quote Message Filtering/Queuing

For Options Quote messages we receive from OPRA, for each specific security:

-if best bid or ask price changes, we immediately publish the quote on our feed.

-if best size or best exchange changes, or if any changes occur on 2nd level, we queue the changes (up to 10 milliseconds max) before sending out a new quote message with the current state of the security.

For Stock Quote messages we receive from the SIPs (CTA and UTP), for each specific security:

-if best bid or ask price changes, or 2nd level bid or ask price changes, we immediately publish the quote on our feed.

-if any size or exchange changes, we queue the changes (up to 10 milliseconds max) before sending out a new quote message with the current state of the security.

  1. Size Aggregation

If multiple exchanges have NBBO, we aggregate the size and send a bitmap of which exchanges are participating in the NBBO. Our consolidated options feed provides this cummulative size as well as the best exchange size. Our consolidated equities feed provides only the cummulative size.

Design Consideration- This aggregation reduces bandwidth, however, it will not show the specific size of each individual exchange participating at a price level. Therefore, our normalized feeds are designed for signaling and risk management systems, but not for order routing. Most trading systems generally only need this type of info to produce their signals, and then leave it to the PB to decide which exchanges to route to. If a user requires the full quote detail, we’d recommend using the direct raw SIP quote feeds (CQS, UQDF, and OPRA), which SpiderRock also offers to our clients.