Re:Trading Halted in Nasdaq-Listed Securities Due to Technic...
by neomantra on Friday August 23, 2013 @08:05AM
(#6262937)
> 1) What are the advantages of getting separate feeds from BATS/EDGEX etc. instead of using the consolidated then?
In addition to what the others wrote... here's a simple description.
The UQDF is the top-of-book (best bid, best offer) for each RegNMS protected venue (e.g. exchanges) for Tape C tickers. [Tape C is NASDAQ-listed tickers, although confusingly UTP, which NASDAQ operates, stands for Unlisted Trading Privileges]. All orders at this top "level" are aggregated, so you only know the total number of shares there.
The direct feeds are generally "full depth-of-book" for an individual venue and not aggregated (although some feeds do), meaning you can see every individual displayed order at every price level.
In addition to what the others wrote... here's a simple description.
The UQDF is the top-of-book (best bid, best offer) for each RegNMS protected venue (e.g. exchanges) for Tape C tickers. [Tape C is NASDAQ-listed tickers, although confusingly UTP, which NASDAQ operates, stands for Unlisted Trading Privileges]. All orders at this top "level" are aggregated, so you only know the total number of shares there.
The direct feeds are generally "full depth-of-book" for an individual venue and not aggregated (although some feeds do), meaning you can see every individual displayed order at every price level.