Just Opt Out

Joseph Saluzzi (jsaluzzi-at-ThemisTrading.com) and Sal L. Arnuk (sarnuk-at-ThemisTrading.com) are co-heads of the equity trading desk at Themis Trading LLC (www.themistrading.com), an independent, no conflict agency brokerage firm specializing in trading listed and OTC equities for institutions. Prior to founding Themis, Sal and Joe worked for more than 10 years at Instinet Corporation, pioneers in the field of electronic trading, and at Morgan Stanley.


You have long heard us talk about the private data feeds that the stock exchanges either sell or give away to their clients.  Exchanges are quick to point out that these data feeds are available for everybody to access.  We have always been suspicious as to what information exactly is inside these feeds.  Last year we highlighted the fact that some exchanges were providing information that allowed subscribers to ascertain if there was a large buyer or seller using a hidden or reserve book order Data Feed Paper After our paper was published, institutional outrage forced some changes to the order id numbers that were attached to these orders.

Prior to the outrage, we heard from the usual pro-HFT crowd and they basically were saying that the id numbers didn’t matter much and we were making a big deal out of nothing.  Well, in a recent SEC filing Read SEC filing here, the folks over at Direct Edge seem to agree with us.  They said:

“The Exchange believes that the random order identification number would help deter other market participants from being able to trace the life of a specific order, including short-term price movements and trading patterns.”

Wow, thanks for admitting that guys.  But what else is exactly in these data feeds that you provide.  Direct Edge notes this in their SEC proposal:

“The EDGX Book Feed contains the following data elements: all displayed orders for listed securities trading on EDGX, order executions, order cancellations, order modifications, order identification numbers, and administrative messages.”

The question that we have is: Who owns the data? We can understand the exchange publishing quotes and trades in their direct data feeds because those are visible on most trading systems and are provided by CQS and CTS.  But,  what about all the other information in these feeds?  It’s apparent from Direct Edge’s statement that they are concerned that some members may be using information in the data feeds to model the behavior of other members and then
use that information for their own benefit.

We think you, the retail and institutional investor, own the data.  After all, it is information on your order that is being sold and distributed to high speed traders so they can model your behavior.  Exchanges have given you the ability to opt out of certain order id numbers.  We think that exchanges should also give you the ability to opt out of their private data feeds altogether.  Speak up and demand that you can opt out of these private data feeds.

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