Nasdaq level 2 data stream cancellation orders?

Discussion in 'Data Sets and Feeds' started by mizhael, May 19, 2009.

  1. Hi all,

    Does anybody know how the cancellation orders are represented when the MM send them out in the NASDAQ level 2 low level data stream?

    Are they represented by a super small number (0.01) as bid, when the market center wishes to indicate that it is
    withdrawing or canceling its quote and is not posting another quote?

  2. the penny bids, and 1k offers you see are there because, depending on the exch, mm's are always required to quote a market. it has nothing to do with cxl's.

    the only way to detect cxl's on a book is to have an algo that wathces -delta for sz updates. tricky to do on the nbbo because it has to take trades into acct. good luck, ;)
  3. We are not working on NBBO. Instead we have some data that we believe to be order updates/arrivals, timestamped.

    There are 1/3 of updates coming with blank bid price and bid size, or blank ask price and ask size. So we were wondering if these are cancellation orders.
  4. by NBBO, i meant 'top of book', not the published L1 feed.

    anyway, if you get a zero size for a level, and no trades executed there, then, yes, you have canceled orders. basically, any time you have a reduction in size on the book that's not trade related, a cxl occured.
  5. Occam


    I'm pretty sure that 0@0 MM quotes indicate a cancel and that the particular MM is no longer displaying a quote on that side. You might want to verify that with Nasdaq docs.
  6. are you saying that you need both bid price/size and ask price/size to be zeroes to define a cancellation order?
    But those types of orders constitute less than 1% of total order arrivals/updates in our Nasdaq data for QQQQ.

    If we define cancellation orders to be either bid price/size to be zeroes, or ask price/size to be zeroes, but not all of them to be zeroes, then the number of such orders constitute about 1/7 of total order arrivals/updates in our Nasdaq data for QQQQ.
  7. Occam


    I mean either the bid or the ask.

    Ultimately, I think this is handled on an Island order book basis (largely viewable under TotalView), and Level II is simply a slice of the big picture. My impression is that Nasdaq converted itself to a bigger version of Island when they bought Island several years ago; Level II remains as a "legacy", replicating the 1990's Nasdaq interfaces. (Anyone with knowledge from inside Nasdaq, please correct me if I'm wrong here.)

    A consequence of this is that there could be a lot of other cancels (and many times more if you count modifies as cancels) that aren't showing up in Level II.
  8. that doesn't make sense. a modify is a cxl/replace. so, anytime there is a reduction in liquidity at any given price level that isn't trade related, it's by definition a cxl. no way it's "not going to show up", unless your feed is broken.
  9. One thing I don't understand is that the order arrivals/updates coming from NSDQ, ARCX, etc. always have two sides of quotes in one message.

    For example, the format of one update message could be:

    TimeStamp, Bid Price, Bid Size, Ask Price, Ask Size

    They never have one sided orders?

    But maybe the market centers had already aggregated bid and ask together into one message to efficiently utilize their bandwidth?
  10. yes, they do... that sounds like your vendor's feed implementation.
    #10     May 21, 2009