open book level 2 or market maker pricing

"Who is your broker?
I have never heard of an option market data feed that points out broker dealer or MM orders vs customer."

Robert is correct there is only one master vendor for options - OPRA. You can visit their site and see what they disseminate and you'll discover there are no levels of service in options.

Exchange members - depending on the technology of the exchange - can see more granular data on their terminals or sniffers they have built, but it can't be distributed to the public - as you can see OPRA is the only one that can sell data to the vendors.

For multiply-listed options - with rare exceptions - you can't trade through a better market. The MM either has to match or send a "satisfaction" order to the better market and take out the better price. Options exchanges - unlike stock exchanges - are linked. Generally, the brokerage houses will have a deal with a consolidator like Citadel, Susquehanna or the others and they will guarantee NBBO. Again rare exceptions focused on fast markets, flashing quotes or spreads. Single list options are obviously not part of the linkage.

Here is a list of current subscribers https://www.opradata.com/related_info/vendor_list.jsp
 
Robert Morse said:
Which OPRA option feed is that? I'm not aware of that one.
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I'm not aware of an OPRA feed that contains it, but if you'd like a specific references:

http://cdn.batstrading.com/resources/membership/BATS_US_EQUITIES_TCP_PITCH_SPECIFICATION.pdf

Revision History (starts on page 82) specifically page 87 revision 2.36.0.
2.36.0
01/22/16
Added Customer Indicator field to Add Order Expanded and removed the usage of ‘CUST’ in the ParticipantID field for EDGX Options. Changes will be effective for all equities and options certifications environments effective 02/02/16 and production environments effective 03/01/16.
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Section 4.3 Add Order on page 20 -- this is referencing the Add Order Expanded message
Section 4.12 Auction Notification (EDGX Options Only) on page 30 -- this is referencing the auction notification message

There's also a participant id field. If this were filled in, then you would know the firm responsible for the order. However if I remember correctly, this field is optional on all exchanges and I have no idea how frequently it is filled in.

The above is just CBOE's documentation. Here's some more specifics from ISE: https://business.nasdaq.com/media/ISE-GEMX-MRX-Order-Feed-Specification_tcm5044-42717.pdf

Section 4.6. Order on Book Message on page 12


Here's BOX's specification for their multicast feed:
https://boxoptions.com/assets/HSVF-BX-002E-BOX-SOLA-HSVF-Multicast-Specifications-Guide-v1.2.pdf

Just search the PDF for "customer". Plenty of message types include indicators for it.

A few years ago I went through the data specifications for the different exchanges trying to find if there was any data that I felt would be beneficial to the professionals that I'd not have access to and, sure enough, there is (in my opinion anyway). I was also interested in writing an FPGA based parser for the exchange protocols as a hobby, but I wasn't able to get a raw data sample with which to test. Sure I could design it to the published specs, but without a way to test it with a sample of real data, I didn't bother. Also some of the protocols seem to be rather poorly designed from an efficiency point of view, which is rather amusing considering the industry's emphasis on latency and performance.
 
Those are I as I mentioned internal to their machines. OPRA does have field space.
They used to be limited to professional/customer - tied to stock - spread related - they may have added more, but I'd be cautious to confuse internal trading terminals with what goes out to the investor. On most terminals you can see every other MM and their depth on that terminals network.
 
ajacobson said:
Again rare exceptions focused on fast markets, flashing quotes or spreads. Single list options are obviously not part of the linkage.
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Can you give a run down of maker / taker fees and rebates and which direction they go with respects to vertical (or other) spread orders? It seems to me the encourage-liquidity model would reverse, where the resting order pays the fee.

Also, would you be so kind as to send me a private message? I've got some questions I'd like to ask you about software and data providers, and would prefer a minimum of eyes on the loose ends that someone reverse engineering could tug at. (And I can't start a pm with you because your account is locked down).

Abundance Magnet said:
this is good education for me. been reading up on it as a result
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Thanks, and for completeness:

Marketable order - one sent to the market to be filled immediately (either as a market order, or as a limit at or above the resting ask or hidden liquidity--and occasionally resting orders run over by a post-only).
Non marketable order - one rested on the market waiting to be hit by a marketable order.
Post only order - an order that will only fill as a non marketable order.

(Also, I feel like given the quality of info on this thread, you should have been thanking someone other than me).
 
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beerntrading said:
Can you give a run down of maker / taker fees and rebates and which direction they go with respects to vertical (or other) spread orders? It seems to me the encourage-liquidity model would reverse, where the resting order pays the fee.

Also, would you be so kind as to send me a private message? I've got some questions I'd like to ask you about software and data providers, and would prefer a minimum of eyes on the loose ends that someone reverse engineering could tug at. (And I can't start a pm with you because your account is locked down).


Thanks, and for completeness:

Marketable order - one sent to the market to be filled immediately (either as a market order, or as a limit at or above the resting ask or hidden liquidity--and occasionally resting orders run over by a post-only).
Non marketable order - one rested on the market waiting to be hit by a marketable order.
Post only order - an order that will only fill as a non marketable order.

(Also, I feel like given the quality of info on this thread, you should have been thanking someone other than me).
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love the humility. it's ppl like you, ajacobson (et al), that make the site worth returning to despite the trolls and testosterone filled 'pushers'.

On a similar but different note... is there a special data feed on IB (or other provider) that provides level 2 data for spx and ndx options? my 'level 2' data for them is pretty bare for some reason... i know nasdaq does it's own thing... and indexes seem to have their own thing too...
 
Abundance Magnet said:
On a similar but different note... is there a special data feed on IB (or other provider) that provides level 2 data for spx and ndx options? my 'level 2' data for them is pretty bare for some reason... i know nasdaq does it's own thing... and indexes seem to have their own thing too...
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https://systems.cboe.com/publish/systemsapisite/cboestreamingbookdepthv1.0.pdf

Good luck find a platfrom that offers this. I expect this is only for hosted solutions. Call the CBOE and they will help you.
 
beerntrading said:
Can you give a run down of maker / taker fees and rebates and which direction they go with respects to vertical (or other) spread orders? It seems to me the encourage-liquidity model would reverse, where the resting order pays the fee.
More...

For multiple leg complex orders, I believe all the exchanges that offer a COB (complex order book) do not charge any exchange fees for executing the spread (for non professional customer orders), except the C2 exchange. The C2 will give a rebate for providing liquidity and charge for taking liquidity (.35 rebate, .47 charge for penny classes, .75 rebate, .83 charge for non penny classes)

Note that single listed products at the CBOE, such as the SPX and VIX you are still charged the same fee as if it is a single order (for each contract).
 
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