Non-Display Fees

kmiklas

kmiklas

Dear All,

I'd like to perform some relatively simple data analysis on equity prices. For example: assuming tick-by-tick market data at 1ms, collect one minute's worth (60,000) of ticks on Apple (AAPL), and push them in to circular FIFO. Then, compute mean, standard deviation, moments, and other measurements, and use as a basis for decisions. I'm using C++ libraries and either the GSL and/or Boost, but this is a simple task in any language for any programmer worth their salt.

I have run into a non-technical issue; namely, "Non-Display Fees." These are charges assessed for algorithmic use of data--where data are not "Displayed" in some for of UI. Said fees, for me are sizable: thousands of dollars per month. [Ref 1, 2] Note that I am a non-professional, non-institutional investor. I trade only my own money, only for myself.

A "subscriber" fee is more in the range of what I would expect: I've heard $5-$10; definitely less than $100, or even free from some services for a minimum balance. I would expect a non-display fee to be aligned with these prices, or at least in the neighborhood... not over 100 times the cost!!!

I am getting quite frustrated; these fees seem extraordinary, and create a barrier to entry. Did I take a wrong turn somewhere? Am I reading these wrong? Is this the truth? Do these fees apply to a little fish like me? More importantly, how can this be circumvented? Is there an exchange that offers lower fees, and caters to the smaller investor? Forex? A foreign equity exchange?

Without the ability to algorithmically process data, I am reduced to another day trader.

Thank you for your help. This is my first post! :^)

Sincerely,
Keith Miklas

1. http://www.nyxdata.com/Docs/Market-Data/Pricing
2. http://nasdaqtrader.com/Trader.aspx?id=DPUSdata
 
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I agree that these non-display fees are excessive. And, they will only get worse as I have posted before. These fees do not come under the pro/non-pro definition. They don't care if your account is a managed account or has an LLC or not. These fees over the next year will also start hitting some APIs. If you use the data for back testing, risk, VWAP or for a large trading firm like Citadel, they are the same.

Sucks
 
From OPRA doc (I am sure other exchanges' requirements are similar):

"Non-Display Use includes, without limitation, portfolio valuation; operations control programs; investment analysis; order verification; surveillance programs; risk management; and compliance.

Also, trading (such as in a “black box” or a trading engine that performs automated trading, algorithmic trading or program trading, or generates arbitrage or program trading orders); automated order or quote generation and/or order pegging; and price referencing for algorithmic trading."

IANAL, but I believe your use of data for data analysis would not fall under that. What you're describing is what any trading platform does when doing indicator calculations. Granted, trading platforms usually display the indicators, but then so can you if you want.

Who told you you'd have to pay these fees? Did you talk to anyone at the exchange?

Again, I am not a lawyer, and this is not legal advice.

Mike Medved
http://www.medvedtrader.com
 
terr said:
Who told you you'd have to pay these fees? Did you talk to anyone at the exchange?
More...

It looks like he is consuming live data to do analysis which will be automated. That is exactly who they want to hit with these fees.
 
"use as a basis for decisions" does not equal automated trading... As far as I can determine from plain English, unless it is a full-autotrading platform, it doesn't fall under the requirement to pay those fees.

(IANAL, etc. etc.)

Our trading platform (Medved Trader), like every other trading platform, calculates indicators and displays them, from RT data from various data feeds. It also may alert the user if certain criteria are met, without the underlying data necessarily being displayed. If you use broad reading of the OPRA statements above ("investment analysis"), every user of our platform (or any other trading platform, really) would be liable for the $2000/month fee, just from OPRA.

I don't think that was the intent of the rules, since it would be absurd if it were.

Mike Medved
http://www.medvedtrader.com
 
NYSE said:
Non-Display Use Definition: Non-Display Use of real-time NYSE Market Information means accessing, processing or consuming NYSE Market Information, delivered via direct and/or Redistributor (defined below) data feeds, for a purpose other than in support of data recipient’s display or further internal or external redistribution.
More...
http://www.nyxdata.com/doc/242842

In my interpretation, this applies to at least 90% of any algorithm or API use. Unless you're just feeding the data into a terminal (Bloomberg or other), then its non-display, right? I hope that I'm wrong; please tell me that I am.

if I'm not, it's a huge quash on algo trading, mathematical analysis, quant work, and APIs in general. The acronym itself stands for "Application Programming Interface," and is fundamentally for the purpose of interacting with systems programmatically--in a "non-display" fashion.
 
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kmiklas, I think your interpretation is unnecessarily broad. But then, it all hinges on what the exchanges want to accomplish - it is their data and they can put whatever restrictions they want on it.

"Data recipient's display" can be very narrowly interpreted as showing quotes or more broadly as heavily processing the information and displaying the signals.

If you think about it, even displaying charts and indicators involves processing the data. So there is no difference in principle between that and between processing it differently and displaying the resulting signals.

Mike Medved
http://www.medvedtrader.com
 
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Heya Peeps,

These "Non-Display Fees" were too much for me.

I wrote a market data tick generation program. This will allow me to write Quantitative Algorithms without stepping on exchange toes.

Please take a look at this thread and tell me what you think:
https://www.elitetrader.com/et/threads/usain-a-low-latency-tick-generation-program.301756/

Github link:
https://github.com/kmiklas/usain

Thanks,
Keith

usain_verbose.png
 
kmiklas said:
Dear All,

I'd like to perform some relatively simple data analysis on equity prices. For example: assuming tick-by-tick market data at 1ms, collect one minute's worth (60,000) of ticks on Apple (AAPL), and push them in to circular FIFO. Then, compute mean, standard deviation, moments, and other measurements, and use as a basis for decisions. I'm using C++ libraries and either the GSL and/or Boost, but this is a simple task in any language for any programmer worth their salt.

I have run into a non-technical issue; namely, "Non-Display Fees." These are charges assessed for algorithmic use of data--where data are not "Displayed" in some for of UI. Said fees, for me are sizable: thousands of dollars per month. [Ref 1, 2] Note that I am a non-professional, non-institutional investor. I trade only my own money, only for myself.

A "subscriber" fee is more in the range of what I would expect: I've heard $5-$10; definitely less than $100, or even free from some services for a minimum balance. I would expect a non-display fee to be aligned with these prices, or at least in the neighborhood... not over 100 times the cost!!!

I am getting quite frustrated; these fees seem extraordinary, and create a barrier to entry. Did I take a wrong turn somewhere? Am I reading these wrong? Is this the truth? Do these fees apply to a little fish like me? More importantly, how can this be circumvented? Is there an exchange that offers lower fees, and caters to the smaller investor? Forex? A foreign equity exchange?

Without the ability to algorithmically process data, I am reduced to another day trader.

Thank you for your help. This is my first post! :^)

Sincerely,
Keith Miklas

1. http://www.nyxdata.com/Docs/Market-Data/Pricing
2. http://nasdaqtrader.com/Trader.aspx?id=DPUSdata
More...


Hi kmiklas,
I am interested in NASDAQ Last sale data only. When I got though the link you shared and look for BX Last Sale & PSX Last Sale it says "Fees are currently waived". Is that mean I should be able to get that data into API or there is some cache I'm missing?
 
Hi Keith,

Have you actually been asked to complete the questionnaire and to start paying these fees?

That will be worrying indeed, but as always there will be a solution around it, of course.

We could do one of two things:

1) Blame capitalism for the NYSE trying to monetize its proprietary data, grab some friends and go and camp in front of the NYSE with some pretty banners and lattes until they eventually throw us out.

2) Adapt or perish. We need to optimize the use of the data we really need to keep us in business. For this there are a dozen things we can do going forward such as:

a) If we really need this feed and can afford it as it is, just pay the fee.

b) If we cannot afford it, then see if we can downsize to the NYSE BBO feed and/or NYSE trades feed. Then check a.

c) Still not, then consider paying the extra fee for redistribution and sell it to 25 of your mates to share in the cost. Now you have a new business model for yourself.

d) Still not, then we are entering the devil's den. Ask you cousin to subscribe to the data and make sure he is a true point and click investor.

e) Still not, then subscribe to a re-distributor based in Russia/China/Cayman Islands/etc

f) Feel free to improvise further.

When there is a will there is a way. Monopolies will always try to get rid of the competition in any way they can.

Enjoy.
 
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