Nasdaq TotalView, NYSE Open Book, ArcaBook - Differences

T

Traderham

I have just changed platforms and gone back to visiting my subscriptions page. I do daytrade when the opportunity is there and would like to view market depth. But I'm not sure if all three are necessary:

Nasdaq TotalView
NYSE Open Book
ArcaBook

All of the above provide market depth, but I'm confused about some of it. The explanations I find for the above are unclear. Maybe someone can shed some light:

1. Isn't Arca owned by NYSE? Arcabook is "top of the book bid/ask last prices for securities listed on NYSE Arca and ArcaEdge". What do they mean by "top of the book"? Isn't that just regular level 1 bid/ask? And why do brokers want $10/month for this info? Are there securities that are only listed on Arca and not on the NYSE? Wouldn't the NYSE Open book already contain everything in Arcabook?

2. Nasdaq Total View is market depth for Nasdaq listed stocks and some other ECN's. Brokers usually want $15/month (same prices as the Nasdaq Data Store, and you get net order imbalance for free). Nasdaq Total View also displays market depth for securities that may NOT be listed on Nasdaq, by they just trade there. Will this include info from Arcabook?

3. NYSE Open Book is for view of the limit order book for all NYSE traded securities (note: not just for "listed" securities, but for "traded" securities). Won't this overlap Nasdaq Total View or ArcaBook?

The total subscription price for all 3 is about $35. Not that material. I'm just curious to see if all three are really necessary. I know this all depends on what securities you trade and where they're listed.

Any other opinions/info?
 
Quote from Traderham:

I have just changed platforms and gone back to visiting my subscriptions page. I do daytrade when the opportunity is there and would like to view market depth. But I'm not sure if all three are necessary:

Nasdaq TotalView
NYSE Open Book
ArcaBook

All of the above provide market depth, but I'm confused about some of it. The explanations I find for the above are unclear. Maybe someone can shed some light:

1. Isn't Arca owned by NYSE? Arcabook is "top of the book bid/ask last prices for securities listed on NYSE Arca and ArcaEdge". What do they mean by "top of the book"? Isn't that just regular level 1 bid/ask? And why do brokers want $10/month for this info? Are there securities that are only listed on Arca and not on the NYSE? Wouldn't the NYSE Open book already contain everything in Arcabook?

2. Nasdaq Total View is market depth for Nasdaq listed stocks and some other ECN's. Brokers usually want $15/month (same prices as the Nasdaq Data Store, and you get net order imbalance for free). Nasdaq Total View also displays market depth for securities that may NOT be listed on Nasdaq, by they just trade there. Will this include info from Arcabook?

3. NYSE Open Book is for view of the limit order book for all NYSE traded securities (note: not just for "listed" securities, but for "traded" securities). Won't this overlap Nasdaq Total View or ArcaBook?

The total subscription price for all 3 is about $35. Not that material. I'm just curious to see if all three are really necessary. I know this all depends on what securities you trade and where they're listed.

Any other opinions/info?
More...

1. Arcabook should contain more than top of book. Although NYSE owns Arca, they are separate exchanges with separate orderbooks, separate bid asks. For example, right now in C, at 4.86 NYSE is bid 2,148,700 shares while arca is only bid 723,000 shares. The data is not redundant, if you want a complete picture of liquidity you need both. There are also some stocks which only trade on arca, such as NUGT.

2. NASDAQ TotalView includes all the NASDAQ market makers and various other ecns I believe (not sure if it includes BATS/EDGA/EDGX depth of market, I believe it does). It doesn't overlap with NYSE Arca or NYSE.

3. NYSE Openbook just shows the NYSE limit orders, not ARCA or any of the orders on nasdaq totalview.

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If you daytrade and want decent executions, subscribe to all three. If the stock you're trading is 20.50 bid by 20.51 offer, for example, and you want to buy, you might just pay the offer at 20.51 if you have no level II data. However, if you have all three, you might notice that there are no bids on ARCA at 20.50 and if you put a bid there you are first in line and more likely to get a fill. Not only do you save a penny, but you get a rebate instead of a remove, saving you net-net a penny and a half per share ($15/1000).
 
Quote from NY0BScalper:

1. Arcabook should contain more than top of book. Although NYSE owns Arca, they are separate exchanges with separate orderbooks, separate bid asks. For example, right now in C, at 4.86 NYSE is bid 2,148,700 shares while arca is only bid 723,000 shares. The data is not redundant, if you want a complete picture of liquidity you need both. There are also some stocks which only trade on arca, such as NUGT.

2. NASDAQ TotalView includes all the NASDAQ market makers and various other ecns I believe (not sure if it includes BATS/EDGA/EDGX depth of market, I believe it does). It doesn't overlap with NYSE Arca or NYSE.

3. NYSE Openbook just shows the NYSE limit orders, not ARCA or any of the orders on nasdaq totalview.

---
If you daytrade and want decent executions, subscribe to all three. If the stock you're trading is 20.50 bid by 20.51 offer, for example, and you want to buy, you might just pay the offer at 20.51 if you have no level II data. However, if you have all three, you might notice that there are no bids on ARCA at 20.50 and if you put a bid there you are first in line and more likely to get a fill. Not only do you save a penny, but you get a rebate instead of a remove, saving you net-net a penny and a half per share ($15/1000).
More...

NYOBScalper -- just wondering. I left the prop and scalping game long ago and will never return, but every now and them I'm curious to know if there's still an edge there.

I know you use or used to use the same kind of style I had, based on earlier observation. Eventually all of the splashing of 1 lots disguising size, pulled quotes in the book, backing and filling, refreshing b/a (although those sometimes had tells), etc. etc. contributed to my abandoning the method. Just wondering if you're still able to stay in the game by reading the book, or if your technique is more nuanced now. More power to you if either way.
 
NY0BScalper, thanks for the explanation. It does appear all three are necessary for my purposes. I just wasn't sure of the potential overlaps.

Thanks again!
 
Great info here, still wondering if total eliminates the need for level 1 as its already included?!

How many ecn's does nasdaq totalview include today?
 
ArcaBook, OpenBook Ultra, and TotalView are "comparable" prop feeds for 3 different venues. They only show full order book events on each of those venues respectively, i.e. the 3 feeds contain mutually exclusive information.

There are some nuanced differences in their protocols, but the primary purpose of subscribing to any of these feeds as opposed to the SIPs is the same: (a) to get full market depth and events keyed by order ID, (b) to get matching engine events not visible on the SIPs, as well as (c) a slight latency advantage if you perform feed arbitration.

Other comparable feeds include MEMX Memoir Depth, BZX Depth, EDGA Depth, IEX Deep etc.

Picking any of 1 of those feeds over another really depends on your use case:
- Obviously, if you route your orders specifically to 1 venue only, that would be the most obvious choice as it will allow you to correlate your order events against the feed.
- If you're just doing research or building a signal, picking 1 or just a smaller subset of all of the prop feeds may be sufficient. We often see users in this situation picking either NASDAQ or Cboe. NASDAQ is a good choice because NBBO often originates from the NASDAQ main market, implementations of the ITCH protocol are widespread, and NASDAQ real-time fees are generally less than those of NYSE. Cboe is also a good choice because it is more cost-effective than NYSE and NASDAQ.
- As a matter of licensing and implementation convenience, if you already have one you might just want to get XNAS+BX+PSX as a bundle or BZX+BYX+EDGA+EDGX as a bundle.
- If your strategy depends on some microstructural features, you'll see significant improvement in your alpha as you add more feeds because hedging flow on any 1 single venue can really throw off your feature construction.

If you don't need market depth, you may also want to look at the top of book prop feeds which are usually intended to serve as a more cost-effective alternative to the SIPs. For retail investors, retail brokerages, and the analyst desks at large asset management firms, we also find that it's very popular to just use a top of the book prop feed like Cboe One (e.g. which Schwab uses) or NYSE Trades+BBO as a more 'granular', real-time display feed for end user trading decisions, and then use the SIPs for the actual order routing and matching. This configuration will usually greatly reduce the firm's data fees.

If you need help in choosing a prop feed, feel free to email me <info@databento.com>. Two of my teammates at Databento were also researchers at trading desks responsible for 5~10% ADV of the entire US equities market and we're happy to share specific microstructure details to facilitate that decision. We are already licensed for 11 of the proprietary depth feeds.
 
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