Quote-to-Market Data

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1

Imported from previous forum

2

Hi Guys,

What is the best practice to link the original Quote Message with the Market Data message, in order to compare times between say LMP E2 and LMP E11 ?

Thank you,
Franck

3

E2 -> E11 requires correlating an order with the resulting market data update(s). In general this is not possible from outside the exchange domain without some other information that for example links an order ID to a market data sequence number. In some specific cases the order ID is referenced in the market data update, but this is not generally the case. However, LMPs E2 and E11 are inside the exchange domain, so it should be possible to obtain the required linking information, possibly as a third out of band message published by the matching engine, if tagging the market data update with the inbound OrderID is not possible. Note that even this may not be practical if source code changes to the matching engine are not possible.

4

Could we use Tag QuoteEntryID(299) and append in it the relevant QuoteID-QuoteMsgID into it so it can be linked ?
Downside is that HFT will identify the patterns of individual Quoting Parties.

Does anyone have an opinion on this matter ?

Thank you.

E2 → E11 requires correlating an order with the resulting market data update(s). In general this is not possible from outside the exchange domain without some other information that for example links an order ID to a market data sequence number. In some specific cases the order ID is referenced in the market data update, but this is not generally the case. However, LMPs E2 and E11 are inside the exchange domain, so it should be possible to obtain the required linking information, possibly as a third out of band message published by the matching engine, if tagging the market data update with the inbound OrderID is not possible. Note that even this may not be practical if source code changes to the matching engine are not possible.

5

Hi Frank,

You can be certain that any info provided in a public flow will be analyzed and used.
Whether you can/should include some info depends on your market structure rule set.
It is important that your participants understand the consequences of your rules.

Best,
Rolf

Could we use Tag QuoteEntryID(299) and append in it the relevant QuoteID-QuoteMsgID
into it so it can be linked ?
Downside is that HFT will identify the patterns of individual Quoting Parties.

Does anyone have an opinion on this matter ?

Thank you.

6

All logical,

Thank you for your view.

Franck

Hi Frank,

You can be certain that any info provided in a public flow will be analyzed and used.
Whether you can/should include some info depends on your market structure rule set.
It is important that your participants understand the consequences of your rules.

Best,
Rolf

Could we use Tag QuoteEntryID(299) and append in it the relevant QuoteID-QuoteMsgID
into it so it can be linked ?
Downside is that HFT will identify the patterns of individual Quoting Parties.

Does anyone have an opinion on this matter ?

Thank you.