Quote-Driven vs Order-Driven markets

Discussion in 'Order Execution' started by jayr95241, Apr 3, 2019.

  1. I am reading that the Nasdaq is a quote-driven market while the NYSE is order-driven market.

    “An order driven market is a financial market where all buyers and sellers display the prices at which they wish to buy or sell a particular security, as well as the amounts of the security desired to be bought or sold. This is the opposite of a quote driven market, which only displays bids and asks of designated market makers and specialists for a specific security that is being traded.”

    I thought that the NASDAQ is displaying bids from buyers and offers from sellers? To my experience Nasdaq and NYSE trade the same electronically, except for the open and close.

    I think there is something that I am misunderstanding- Is any one able to please clarify the differences.
  2. 2rosy


    assume stock XYZ trades exclusively on NYSE. if you see a quote 55.44/55.47 and try to penny the bid the displayed quote wont change
  3. qlai


    While the textbook definition you provided is correct, the examples are outdated. Nasdaq stands for "National Association of Securities Dealers Automated Quotations" but it is no longer a quote driven market. All US National exchanges are order driven now after Reg NMS.
    rb7 likes this.
  4. smallfil


    I have traded stocks and options long enough. On Level 2 quotes, I see my orders resting against other others so, I know how many are buying at what price. Whether I choose to pay that price is up to me. Do I want XYZ stock bad enough I just want to match the ask price and get it or do I want to wait for better prices and just put a limit order on a good till cancelled basis?
  5. zdreg


    rb7 and GRULSTMRNN like this.
  6. 2rosy


    why? show an example
  7. dinn13


    here is the spec which shows how orders are added and updated in the NYSE market data feed https://www.nyse.com/publicdocs/nyse/data/XDP_Integrated_Feed_Client_Specification_v2.2.pdf also at 3.6.2 in https://www.nyse.com/publicdocs/nyse/data/XDP_Common_Client_Specification.pdf it tells you how to map the order id in the market data feed to your ack when sending an order as further explained in 5.3 in https://www.nyse.com/publicdocs/NYSE_Pillar_Gateway_Binary_Protocol_Specification.pdf

    so if you send a displayed order to nyse then you'll see it in their order book feed with the order ID matching the id on your ack, if it's a round lot or larger then it'll show up on the SIP as well. If you don't have direct market access and aren't seeing your order being displayed then your broker is likely selling the order flow or you're misunderstanding the order type you're sending

    i have historical order book data from every exchange and taq data so if you have an example of an order (price/time/side/date) I can look it up to see what happened, if it was a non-displayed order and was executed that also shows up as such in the feeds (obviously the initial order isn't in the feeds)
  8. qlai


    Do you mean you have access to it, or do you mean you own it?
  9. dinn13


    I have it in aws s3 buckets that I own (technically my company), it's pcap data for every feed from each respective colo, I then parse it out into my own format.
  10. qlai


    Wow, that's pretty valuable ... is this something you are offering to customers or strictly for your own use?
    #10     Apr 4, 2019