Nasdaq order id on OUCH/RASH/FIX before it shows up in ITCH feed?

stochastix

stochastix

Let's pretend that I have a colocated machine at nasdaq. For order entry, I am using OUCH, RASH or FIX. If I place an order, am I guaranteed to receive the order acknowledgment along with nasdaq assigned order id BEFORE I see the order show up on the books in the nasdaq multicast ITCH feed that is broadcast market wide? The reason being that I want to know what orders are mine when parsing the ITCH feed so I can ignore my own orders for the purposes of determine the spread.

https://money.stackexchange.com/que...-orderid-come-back-from-ouch-rash-before-it-a
 
stochastix said:
Let's pretend that I have a colocated machine at nasdaq. For order entry, I am using OUCH, RASH or FIX. If I place an order, am I guaranteed to receive the order acknowledgment along with nasdaq assigned order id BEFORE I see the order show up on the books in the nasdaq multicast ITCH feed that is broadcast market wide? The reason being that I want to know what orders are mine when parsing the ITCH feed so I can ignore my own orders for the purposes of determine the spread.

https://money.stackexchange.com/que...-orderid-come-back-from-ouch-rash-before-it-a
More...

I have had a deep dive from nasdaq as they call it. Bring in the head engineer to explain how everything works. They did specifically address that. Client messages are sent over ITCH before they are sent over OUCH.
 
dinn13 said:
I have had a deep dive from nasdaq as they call it. Bring in the head engineer to explain how everything works. They did specifically address that. Client messages are sent over ITCH before they are sent over OUCH.
More...
Dang, I was hoping it was the other way around. Oh well, not a deal breaker necessarily. I just have to assume that if i placed an order to improve the best price at 100 shares, and 100 shares comes back from itch, then assume its mine.. ? it seems better than adding any sort of fixed-delayed in there..
 
stochastix said:
Dang, I was hoping it was the other way around. Oh well, not a deal breaker necessarily. I just have to assume that if i placed an order to improve the best price at 100 shares, and 100 shares comes back from itch, then assume its mine.. ? it seems better than adding any sort of fixed-delayed in there..
More...

Firms that have a ton of flow (ie HFT) would have a significant advantage if they got their fills before it hits the book feed so overall a good thing assuming you're not Virtu/HRT/etc...

Yeah that's a fair assumption especially for what is sounds like you're trying to do. If you need to know the exact order in order to track your place in the queue for an adverse selection model then could use the timestamp on your ack on ouch (in nanoseconds) to match up with the new order message timestamp in itch. Still not ideal when compared to arca/nyse with pillar where they have a field that has the order id in their book feed.
 
dinn13 said:
They did specifically address that. Client messages are sent over ITCH before they are sent over OUCH.
More...
This doesn't sound right. You should get the ACK back first on OUCH which will carry the order id. I think what the above means is that they will not send you execution message on OUCH prior to publishing execution message on ITCH.

So something like below:

Receive order from customer
Send ack to customer with order id
Add order to book
Send "add order" on ITCH
Send "executed" on ITCH (because you said so)
Send execution on OUCH

You, or your guys, would know better, so feel free to correct me. It's been awhile.


@stochastix , as you may know, nothing is guaranteed to be received in sequence (or at all) on your side. You can't assume the order is yours. You just have to wait for order id from OUCH prior to taking action (in your specific example). But I'm pretty sure you will get it from OUCH first.
 
Hi @stochastix ,

I'm sorry, but there is no such guarantee, as there are many factors that affect the speed of which an order is ack'd.

Thank you.

T.J. Martuscelli
Market Operations
Nasdaq: +1 212 231 5180
Fax: +1 212 231 5426
TradingServices@Nasdaq.com


--------------- Original Message ---------------
From: Stephen Crowley [stephenc214@protonmail.com]
Sent: 11/4/2019 3:36 PM
To: tradingservices@nasdaq.com

For order entry, I am using OUCH, RASH or FIX. If I place an order, am I guaranteed to receive the order acknowledgment along with nasdaq assigned order id BEFORE I see the order show up on the books in the nasdaq multicast ITCH feed that is broadcast market wide? The reason being that I want to know what orders are mine when parsing the ITCH feed so I can ignore my own orders for the purposes of determine the spread.
 
I think you should've re-phrased the question - Are you guaranteeing that the "accept" message carrying the order id will be generated and sent out on OUCH prior to "add order" being sent out on ITCH?
 
You must log in or register to reply here.
Back
Top