Cheapest ECN Feed.

[Craig66]

Is there even such a thing as a cheap ECN feed? I don't mean an L2 market maker feed, but one where you can actually see your position in the queue.
Edit: To clarify, I'm talking equities here.

 

[Robert Morse]

To my knowledge, there is no L2 where you can see you place on the book for equities.

 

[Craig66]

Can't you see it in LightSpeed's 'Gateway Book Engine'?

 

[Robert Morse]

I’m not an expert on data feeds. I know the CME has L3. I did not think each ECN or exchange sold that data. What would that feed be called from CTA or any equity exchange? Do you have a link?

 

[Craig66]

I don't have a direct link, but I do have a bunch of documentation for the LightSpeed Gateway product, which has the Order ID in the 'ECN Addition' message, so I assume one can see position in the queue. The specific document is called 'LSG Book Engine.pdf'.

 

[Robert Morse]

Cool. It might be the Nasdaq Itch 5.0 feed. As you know, we have a full IT team for the gateway. Not where my expertise lies.