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FYI, Level II is quotes only feed. Trades reported on primary/regional exchanges only.

1. Most likely you will see trades from all market centers your broker has marked feed from. With professional feed, you can subscribe for specific ECN/exchange feed, or get consolidated feed and look at the field "trade exchange" to determine the source of the print. 2. I read NYSE tape...

I disagree. How many time have you seen the price going up on the light volume attracting more and more buyers, and then going down heavily because seller went back to work? Only price & volume together give you the full picture, and it's all on the tape. I'd say volume has more importance...

No it's not (repeating this for the second time). Please, do the research. As the part of the NBBO feed you get the exchange codes that posted NBBO: bid, ask or both counterparts. It's your particular feed provider that calculates and gives you cumulative size for NBBO, which maybe actually...

This is the right sequence (at least for NYSE). Keep in mind that the picture maybe something like this in the fast moving market: 20.50 x 20.55 1 x 1 20.50 x 20.56 1 x 10 [30 other quotes] 1s20.55 <- here comes our buy order

The first print is a sell hitting the bid 103.37 @74910453, putting the next bid price to 103.34. The second print is "tag along" print. If you had trade condition on the grid you'd see that the second print had either @ (regular sale print) or F (ISO). Welcome the tape reading world :)

No, NBBO is not cumulative. Its price/size/time priority based quote. [B] Every exchange posts NBBO, but regional exchanges/ECNs usually do not, so your feed provider calculates NBBO from the latter ones.

The feed is superb, and C++ API is very solid. API coverage includes various UNIX flavors, which is hard to find even among professional data vendors.

Assuming you meant a buy order... NYSE HYBRID always disseminated a new quote before the print (because those are essentially two different feeds, and it always takes some time to clear the trade. NYSE is still one of the slowest when it comes to trade execution. So the right sequence is...

You have to look at bid_exchange field or whatever is provided by your feed (N is NYSE). To my best knowledge, there is no such thing as "cumulative size" on bid or offer disseminated by exchange or any feed provider/broker.

If ping fails, try to use tracert on Windows, or traceroute/tracepath on Unix to get a feeling how far the remote host is.

I had that impression (at least data-quality wise), although I didn't do full analysis like latency and lagging during huge market activity (I've heard some complains). I got Genesis API and tried to plug-in into my ATS, but stopped coding later - market data API was not well designed, was based...

I remember querying Genesis about their ticker plant and they said they were using direct feed from NYSE through leased line. Also, I compared their feed tick-by-tick with ACTIV and didn't find any single missing quote. Other feeds in your list are either snapshot based or not truly streamed...

No, if there is no imbalance, MOC/LOC orders will be paired-off at he last sale price. If there is imbalance, the specialist will stop the imbalance and then pair-off MOC/LOC orders. So someone will pay the spread. [B] Based on my observation, big buys usually play against MOC/LOC orders...

There are few old books about tape reading (for example Tape Reading & Market Tactics by H. Neill, Studies In Tape Reading by Roll Tape). They were published back in 1920's and focus on the price/volume action without any technical analysis bullshit. But a lot of things have been changed, and...

Every time a floor broker wants to buy a large quantity of stock and doesn't want the whole world to see the size bid (unless there is a seller in the stock). [B] RegNMS is protecting the top of book only, when you started sweeping the book, the reserve liquidity (if there is any) will be...

IMHO, rebates are vital for DMA brokers (especially with SmartRouter) to keep their execution/routing cost down. If you want to fill a buy order with the size more than posted on NBBO, and a couple ECN's match the NBBO price, so you'd just take NBBO size and route the rest to ECN with the lowest...

http://rules.nyse.com/nyse/nyse_rules/nyse-rules/chp_1_3/chp_1_3_8/chp_1_3_8_13/default.asp

Not necessary. The specialist sees all the flow, but he cannot front run any market orders. The scenario you described will trigger LPR, and [B]then specialist has to step in and provide liquidity.

The specialist can provide single-price executions, thus avoiding sweeps. It's in NYSE rules and I see it multiple times per day. BTW, reserve liquidity not in Open Book, it's in Display Book...