Is a single exchange level 2 subscription sufficient?

Discussion in 'Data Sets and Feeds' started by Kaga, Jul 3, 2020.

  1. Kaga


    I am currently subscribed to a single exchange providing level 2 data, and I can see the ask and bid depth for destinations such as ARCA and ISLAND etc. updating in real time for stocks displayed on my trading platform. What I wonder is:
    Seeing as a single subscription apparently shows the depth for various routing destinations, is there any advantage at all to subscribe to the same feed from other exchanges (like, e.g., directly to ARCA or NASDAQ)? Or does every exchange provide the same depth information so that several subscriptions would be redundant?
  2. AbbotAle


    Pretty pointless IMHO.

    You'll make or lose money on calling the direction right, not on which Exchange has the best bid-offer etc.

    So 100% of your focus should be on the potential direction. The market will go where it's going regardless of what's on Level 2.
    CDoubleUU likes this.
  3. Kaga


    Yeah, but I mean, does one run the risk of the following scenario happening?

    What if the ECN I'm subscribed to shows, let's say, 20 (hundred) shares on the ask for ARCA, while the actual ask size on ARCA is e.g. 3500 (hundred) shares and my ECN subscription just does not report it, and to actually see the full size one would need the ARCA level 2 subscription.

    Is such a scenario possible, or having one level 2 subscription is guaranteed to show the same ask and bid sizes as all other level 2 subscriptions from all other ECNs?
  4. deaddog


    By the time you make your decision the algo's have probably changed the price anyway. I wouldn't worry about it.
    CDoubleUU likes this.
  5. Kaga


    @deaddog Well, I have API access to my broker and plan to be that algo you are mentioning. Which is why I'm looking into this stuff. :)
    CDoubleUU likes this.
  6. AbbotAle


    Again, it doesn't matter. The price of that share is going to go where it goes regardless of what the offer is on ARCA versus the offer price on your present feed. if the offer is for 3,000 shares versus 300 the stock is still going where it's ultimately going.

    Focus on where the price is likely to move to and forget about who is on the offer, how much, which Exchange and so on. That information is for basically market-makers and that's not you.
    CDoubleUU likes this.
  7. deaddog


    Good Luck.

    You might want to spend a bit of time researching HFT to see what you are up against.
  8. qlai


    What you are getting is top of books published by a single source. You are missing all the price levels outside. If it doesn’t matter to you, then you don’t need it.
  9. rudi20


    I believe what you're asking is whether your current consolidated feed is going to be fundamentally different to a consolidated feed from another provider. Ignoring latency differences and the odd data discrepancy, the aim is to receive data that will give you the 'complete' picture of what is on the books of all participating Exchanges.

    I think this is an important question and while I don't know the answer (my background is writing algos for single Exchanges and I'm unfamiliar with the distributed US Equities system) I'm also interested to understand this.
  10. Kaga


    @rudi20 from personal conversations with a few traders I learned that in practice a NASDAQ subscription has better quality data and latency, which makes additional subscriptions superfluous.
    #10     Jul 5, 2020