To keep the messages as short as possible, to reduce the time-costs of transmitting and processing them. It's HFT, they do things like that.

Which is why I don't feel bad at all. Live by the sword, die by the sword.

I was honestly surprised the NYSE/NASDAQ didn't step in and reverse the trades. They've done so in the past when automated trading systems went off the rails. I am glad they didn't do so, as such favoritism is completely unfair and sends a terrible message to HFT companies, but it was still surprising.

Okay, yeah, if the flag is in the message not just an internal flag that makes MUCH more sense.

I assume "flag" in this context means something akin to a command-line flag.

I assumed it was a single bit in a string of them that describes a message.

You're correct. Single bits representing boolean values are often called "flags".

Except it's probably a byte or less.

For highly efficient messages I'll bet they did bit packing, so it was probably only a single bit, which is why they'd want to reuse it rather than completely change the message format.

Okay, I can see that if they're binary messages and a single bit is no longer being used.

I've seen it done on a regular basis at a large financial institution. Like, so often that almost half the fields had a different meaning now or have dual purpose on some old systems.