I am trying to get level 1 quotes of NYSE. Couple of vendors (Polygon is one of them) told me I just need to subscribe their CTA/UTP feed and then filter out non-NYSE quotes. hmm...my understanding is CTA/UTP only sends aggregated quotes based on NBBO rules. So technically CTA/UTP should only send partial NYSE quotes (only when they are on NBBO level)? Anybody can confirm this? really appreciate any comments
The SIPs consolidate the top of book of each venue at any time. i.e. This includes when said quotes are not at NBBO. In the conventional sense of the term, yes, you receive "level 1" of each venue through the CTA/UTP.
You are talking about CQS feed. The feed provides top quotes for NYSE listed stocks (aka Tape A). Let’s say NYSE’s best bid for XYZ changes from 9.50 to 10, but NBB is 10.05. CQS will publish a message which will NOT affect NNBO. But if NBB was at 9.50, that same message will have a flag indicating that NYSE is the new NBB. CQS, CTS, UTDF, UQDF feeds come on separate multicasts and Polygon consolidates them into a single tcp stream which can be subscribed on per symbol basis. So what they told you makes sense.
cool. this makes sense. so when vendor sends raw CTA/UAP message I'd get whole level 1 of each exchange.
Polygon doesn't send every quote in their feed, they only send quotes that are NBBO. It might not make a difference for you, depending on your application.
think you saying about CQS is right. but what polygon told me is definitely wrong as they do aggregate/filter exchange quotes. I compared polygon's NYSE quotes with raw NYSE quotes from ICE data service and there are lots of missing quote updates. Hope Polygon guy here can clarify this...their support guy is totally clueless
Sorry to hear you had issues with our support. If you could send me a DM with the issues you had I can take a look into that. As far as your questions around what data we broadcast, we broadcast the NBBO data. Which what @qlai said is accurate. You would need BBO data to get the full level 1 book from all the exchanges individually. What we broadcast is the best bid / offer across the exchanges at that time. For instance if you were to submit a buy/sell order at market price, those are the prices RegNMS would route your order to. ( theoretically, and if you didn't go through ATS's ). We plan to offer BBO at some point, but it hasn't been requested much at this time. I hope this helps. Let me know if you have any other questions around this.