THANK YOU FOR JOINING OUR WEBINARDEMYSTIFYINGUS EQUITY QUOTES & PRICESPART 1 OF 2: VENUES, QUOTES & PRICES                ...
AGENDA  Part 1: Venues, Quotes & Prices    •     Background    •     US Equity Venues    •     Types of Quotes & Prices  ...
BACKGROUND        www.xignite.com – Copyright © 2012 – All Rights Reserved                                                ...
AUDIENCE  Job Type    • Developer    • Product/Project Manager    • Business Owner/Decision Maker  Level of Expertise   ...
HOW HARD CAN THIS BE?xignite                 5
ASSET CLASSESxignite
TYPES OF EXCHANGESxignite              7
THE REGULATORY VIEWxignite               8
US EQUITIES VENUES          www.xignite.com – Copyright © 2012 – All Rights Reserved                                      ...
HISTORY OF US STOCK EXCHANGES                                                                                             ...
TRADING VS. LISTING  About Listing  • The primary listing exchange is the main    exchange were a security is bought/sold...
LISTINGS BY ASSET CLASS                           NASDAQ       NYSE     NYSE ARCA    NYSE MKT      CHX   BATS            4...
MARKET SHARE                NASDAQ    NYSE   BATS    DirectEdge   CBSX   CHX      NSX      100%          90%          80% ...
MARKET SHARE            NYSE     NASDAQ    Regionals                                                        Total         ...
EXAMPLE: FB’S FIRST 10 SECONDSxignite                          15
OTC MARKETS  • Since 1913 (“Pink Sheets”)     •A system, not an exchange  • Interdealer Quotations         •Interdealer Qu...
AND HOW ABOUT….  MUTUAL FUNDS?    •     Different from Exchange Traded Funds.    •     Not traded on stock exchanges.    ...
TAKE-AWAYS  US equity markets are complex and fragmented:    •     Stocks are traded in 15 exchanges and dozens of market...
TYPES OF QUOTES & PRICES          www.xignite.com – Copyright © 2012 – All Rights Reserved                                ...
THE 3 CONSIDERATIONSxignite
DELAYxignite
DEPTH            LAST SALE     BEST BID OFFER (LEVEL 1)          DEPTH OF BOOK         LEVEL 2xignite                     ...
DEPTH TERMINOLOGY  Clarifications    • Last Sale and Last Price have the same meaning (Last Trade Price)    • Close Price...
BREADTH OF COVERAGE    INDIVIDUAL     EXCHANGE        vs.   CONSOLIDATED       TAPExignite               24
CTA  Consolidated Tape Association    • Oversees the dissemination of real-time trade and quote      information (SEC Reg...
EXCHANGE SPECIFIC DATA  Only data from that exchange    •     Only includes securities traded on that exchange    •     C...
DEPTH BY EXCHANGE  Exchange   CTA             Level 2             Depth of Book       BBO            Last Sale  NYSE      ...
IMPACT ON COSTS  DELAY  • Real-Time data is generally fee-liable and    requires exchange agreements (BATS is the    exce...
DATA & MONEY FLOWS         www.xignite.com – Copyright © 2012 – All Rights Reserved                                       ...
THE 3 COST FACTORSxignite
THE FLOW OF DATA                 Feed                  Feed                  Feed/API                App                  ...
THE FLOW OF MONEY                                                                   License Right                         ...
CONSIDERATIONS  Vendors and Sub-vendors are optional    • You can go direct to the exchange    • Exchanges can be distrib...
PART II  Fees, Agreements, Reporting & Usage  Delivery and Integration  Which Solution Is Best For Me?  Demonstration ...
RESOURCES  NASDAQ    • www.nasdaqtrader.com/Trader.aspx?id=DPSpecs    • www.nasdaqdod.com  NYSE    • www.nyxdata.com/Dat...
For more information: info@xignite.com                            Presenter: sdubois@xignite.comTHANK YOU                 ...
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Xignite Demystifying US Equity Quotes

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PART 1 OF 2: VENUES, QUOTES & PRICES

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Xignite Demystifying US Equity Quotes

  1. 1. THANK YOU FOR JOINING OUR WEBINARDEMYSTIFYINGUS EQUITY QUOTES & PRICESPART 1 OF 2: VENUES, QUOTES & PRICES xignite Presented by Stephane Dubois August 2012 www.xignite.com – Copyright © 2012 – All Rights Reserved
  2. 2. AGENDA  Part 1: Venues, Quotes & Prices • Background • US Equity Venues • Types of Quotes & Prices • Data & Money Flows  Part 2: Costs, Delivery & Integration • Fees, Agreements, Reporting & Usage • Delivery and Integration • Which Solution Is Best For Me? • Demonstrationxignite 2
  3. 3. BACKGROUND www.xignite.com – Copyright © 2012 – All Rights Reserved xignite 3
  4. 4. AUDIENCE  Job Type • Developer • Product/Project Manager • Business Owner/Decision Maker  Level of Expertise • Novice/Intermediate • Not a low-latency person  Purpose • Learning about industry • Building/rebuilding application(s) • Mobile/Web/Mid-Office, Front-Office • Want to find easiest/cheapest way to get US equity data meeting your needsxignite
  5. 5. HOW HARD CAN THIS BE?xignite 5
  6. 6. ASSET CLASSESxignite
  7. 7. TYPES OF EXCHANGESxignite 7
  8. 8. THE REGULATORY VIEWxignite 8
  9. 9. US EQUITIES VENUES www.xignite.com – Copyright © 2012 – All Rights Reserved xignite 9
  10. 10. HISTORY OF US STOCK EXCHANGES Copyright Xignite © 2012 1800’s 1900’s 2000’s1790 Board of BrokersPhiladelphia 1875 1949 1954 1969Stock Exchange Baltimore Washington Pittsburgh Boston Stock Exchange (BSE) 1834 1967 Instinet 2003 1998 Island ECN INET NASDAQ & AMEX OMX NASDAQ 1971 NASDAQ Market Group BX NASDAQ PHLX 2005 2007 2007 2008 1938 NASD FINRA 2002 NYSE Regulation 2007 1908 1929 1953 1998 2002 New York Stock Exchange (NYSE) 2006 2007 NYSE AlterNext NYSE Mkt Archipelago NYSE Arca 2008 1817 Securities 1997 2005 Los Angeles Oil Exchange Exchange EuroNext San Francisco Stock and Bond Exchange Pacific Exchange ISE Stock Exchange 1882 1957 2006 Attain ECN Knight DirectEdge 1998 2005 2007 CHI-X Europe BATS Trading 10 St Louis – Cleveland - Minneapolis New Orleans 1949 1959 2005 2011 Chicago Stock Exchange (CHX) 1882 1993 Cincinnati Stock Exchange National Stock Exchange 1885 2003 CBOE Stock Exchange xignite 2007 2011
  11. 11. TRADING VS. LISTING  About Listing • The primary listing exchange is the main exchange were a security is bought/sold. Institutions Individuals • Not all market centers list (only NYSE, NASDAQ, CHX and BATS are). • An exchange can be approved for listing yet have none or few listings. Institutional Retail Market  About Trading Broker/Dealers Broker/Dealers Makers • Exchanges must by law provide best execution, which means routing orders to other market centers. • Orders can be routed to a given market center directly. Order Matching • All market centers execute orders for securities they do not list. • Some are not even the first market center Order Routing for securities they list.xignite 11
  12. 12. LISTINGS BY ASSET CLASS NASDAQ NYSE NYSE ARCA NYSE MKT CHX BATS 48 16100% 17 358 129 2 90% 3 80% 1,831 70% 1,176 60% 50% 427 318 21 19 5 3 12 40% 30% 2,515 506 20% 10% 242 0% Common Funds Structured Preferred ADS Warrant Unit NYRS Rights Productsxignite 12
  13. 13. MARKET SHARE NASDAQ NYSE BATS DirectEdge CBSX CHX NSX 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Shares Value Tradesxignite Source: BATS (June 16-July 15 2012) 13
  14. 14. MARKET SHARE NYSE NASDAQ Regionals Total Listed Listed Listed NASDAQ 16.5% 30.1% 21.7% 21.1% NYSE 31.8% 12.3% 20.5% 24.7% BATS 11.0% 13.1% 14.9% 12.2% DE 8.8% 10.1% 9.7% 9.3% CBSX 0.5% 0.4% 0.6% 0.5% CHX 0.2% 0.3% 1.0% 0.4% NSX 0.3% 0.4% 0.3% 0.3% NYSE MKT 0.0% 0.1% 1.0% 0.2% Others 30.8% 33.2% 30.3% 31.4% Total 100.0% 100.0% 100.0% 100.0%xignite Source: BATS (June 24-July 23 2012) 14
  15. 15. EXAMPLE: FB’S FIRST 10 SECONDSxignite 15
  16. 16. OTC MARKETS • Since 1913 (“Pink Sheets”) •A system, not an exchange • Interdealer Quotations •Interdealer Quotations • Private Company •Different From NASDAQ  Companies •Operated by FINRA • 9000+ Companies Companies • No Filing Requirements •8000+ Companies • Small Closely Held •Filing Requirements • Thinly Traded •Delisted Companies  Multiple Levels •Dually Quoted • OTCQX, OTCQB, OTC Pink, etc. 16
  17. 17. AND HOW ABOUT….  MUTUAL FUNDS? • Different from Exchange Traded Funds. • Not traded on stock exchanges. • No quotes and prices, only NAVs (Net Asset Values). • Reported through NASDAQ’s Mutual Fund Quotation System.  INDICES? • Not securities. • Not traded. • No quote and prices, only values. • Calculated by the index company or exchange. • Subject to completely separate licensing and rules.  Subjects of future webinars…!xignite 17
  18. 18. TAKE-AWAYS  US equity markets are complex and fragmented: • Stocks are traded in 15 exchanges and dozens of market centers. • Stock exchanges trade more than just stocks. • Some stocks are traded on many exchanges. • Some stocks are traded over-the-counter. • Much activity occurs in dark pools. • No exchange can provides a full quote picture. • Even the primary listing exchange for a stock tends to only perform a fraction of the trades for that stock.  All of this impacts quotes and prices… • What is the quote or price for this stock is not an easy question.xignite 18
  19. 19. TYPES OF QUOTES & PRICES www.xignite.com – Copyright © 2012 – All Rights Reserved xignite
  20. 20. THE 3 CONSIDERATIONSxignite
  21. 21. DELAYxignite
  22. 22. DEPTH LAST SALE BEST BID OFFER (LEVEL 1) DEPTH OF BOOK LEVEL 2xignite 22
  23. 23. DEPTH TERMINOLOGY  Clarifications • Last Sale and Last Price have the same meaning (Last Trade Price) • Close Price is the Last Sale price at market close • Offer and Ask are often used as synonyms • A Quote is really a bid or an offer although the term is often used to indicate a BBO • NBBO is the best nationally consolidated quote (CTA)  Depth of Book and Level 2 Info are often confused • Their meaning can vary • Level 2 is sometimes used to indicate Depth of Book • Level 3 is sometimes used to indicate Level 2  Volume is derived from the Trade Quantity • Calculations are done by quote vendors • Other fields are also derived (change, etc.)xignite 23
  24. 24. BREADTH OF COVERAGE INDIVIDUAL EXCHANGE vs. CONSOLIDATED TAPExignite 24
  25. 25. CTA  Consolidated Tape Association • Oversees the dissemination of real-time trade and quote information (SEC Regulated) • All equity exchanges are members  Consolidates trades and quotes data • Consolidated Tape Plan (CTP) • Consolidated Quote Plan (CQP) • Operating authority for CTS and CQS • Operates its own infrastructure (SIAC) • CQS calculates the NBBO (National Best Bid and Best Offer)  Consolidates end user fees from exchanges • All CTA feeds are fee liable • Redistributes fees among exchanges based on quotes issuedxignite 25
  26. 26. EXCHANGE SPECIFIC DATA  Only data from that exchange • Only includes securities traded on that exchange • Can combine multiple exchanges (e.g. NYSE + Arca + MKT) • Coverage of stock universe varies by exchange • Includes securities listed in other exchanges • Liquidity and coverage varies by security • Only include Bid, Ask, and Last Sale from that exchange • Volume is limited to that exchange too  Not subject to the same fees as CTA fees • Exchange have more pricing flexibility – No user fees for certain depth options (last sale, BBO) – Usage based pricing • All pricing policies must be approved by SECxignite 26
  27. 27. DEPTH BY EXCHANGE Exchange CTA Level 2 Depth of Book BBO Last Sale NYSE CTA Network A NYSE OpenBook NYSE BBO Composite RRP CTA Network B NYSE OpenBook MKT BBO NYSE RRP MKT OpenBook Arca BBO NYSE Trades MKT OpenBook ARCA RRP ArcaBook Web ARCA Trades MKT RRP MKT Trades NASDAQ UTP Level 1 NASDAQ Level 2 NASDAQ Basic NASDAQ Last Sale FINRA Level 1 NASDAQ TotalView PSX Basic PSX Last Sale PSX TotalView BX Basic BX Last Sale BX TotalView BATS DROP Multicast Pitch TOP (authorized only) TCP Pitch DE EdgeBook EdgeBook Depth Attributed CHX CHX Book Feed CBSX CSM NSX NSX Depth of Book (members only)xignite 27
  28. 28. IMPACT ON COSTS  DELAY • Real-Time data is generally fee-liable and requires exchange agreements (BATS is the exception). • Delayed data is non-fee liable but requires exchange agreements and admin fees for NASDAQ (not for NYSE). • Historical data is non-fee liable.  DEPTH • Last Sale data is generally cheaper than BBO, Depth of Book, or Level 2 data for a given exchange (BATS is again the exception).  BREADTH • CTA data is fee liable. • Exchange-specific data is priced specifically by each exchange using different pricing models. • Some exchanges make all data non-fee liable.xignite 28
  29. 29. DATA & MONEY FLOWS www.xignite.com – Copyright © 2012 – All Rights Reserved xignite
  30. 30. THE 3 COST FACTORSxignite
  31. 31. THE FLOW OF DATA Feed Feed Feed/API App USER EXCHANGE USER VENDOR EXCHANGE USER EXCHANGE SUB VENDOR DISTRIBUTOR VENDOR USER EXCHANGE VENDOR USER EXCHANGE USER Collects Consolidates Packages/Presents Owns Consolidates Distributes Distributes Consumesxignite 31
  32. 32. THE FLOW OF MONEY License Right To Use License Right License Right License Right USER EXCHANGE To Distribute To Distribute To Distribute USER VENDOR EXCHANGE USER SUB Pays For EXCHANGE VENDOR DISTRIBUTOR Access VENDOR USER EXCHANGE Pays For Pays For Access VENDOR USER Access EXCHANGE USER Pays For Access  Two Types of Money Flows • Data Licensing Fees • Data Delivery/Access Fees  Italics are Optionalxignite 32
  33. 33. CONSIDERATIONS  Vendors and Sub-vendors are optional • You can go direct to the exchange • Exchanges can be distributors  Access fees & license fees can take different forms • Monthly fee per firm for Distributor or Administrative Fees • Monthly fee per feed for Network Access Fees  More flexibility around user fees • Monthly fee per user (CTA) • Usage fees (per quote) • Special treatment for certain devices (wall-board, TV, etc)xignite 33
  34. 34. PART II  Fees, Agreements, Reporting & Usage  Delivery and Integration  Which Solution Is Best For Me?  Demonstration  Q&A  Part II will be released within 2 weeks  If you saw this webinar, we will send you a link to the next one.xignite 34
  35. 35. RESOURCES  NASDAQ • www.nasdaqtrader.com/Trader.aspx?id=DPSpecs • www.nasdaqdod.com  NYSE • www.nyxdata.com/Data-Products/Real-Time-Data  BATS • www.batstrading.com/market_data  DIRECT EDGE • www.directedge.com/data.aspx  SEC • www.sec.gov/divisions/marketreg/mrexchanges.shtmlxignite 35
  36. 36. For more information: info@xignite.com Presenter: sdubois@xignite.comTHANK YOU Twitter: @sdubois LinkedIn: http://www.linkedin.com/in/sldubois www.xignite.com – Copyright © 2012 – All Rights Reserved xignite

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