Heshan
Posts:4
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| 12/26/2006 8:21 AM |
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As the new OpenBook real-time update system updates each 1 second, I believe that the CQS would be faster than the updates coming in the OpenBook.
Am I Correct or have you guys deliberately delayed the CQS feed data so that OpenBook data would arrive earlier.
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Mark
Posts:21
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| 12/26/2006 11:41 AM |
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NO! That is very much incorrect! Nothing is delayed. OpenBook data is published every second - each one second update is realtime and because it does not have to be consolidated with other markets quotes it reaches you faster. You should also have access to the NYSE BestQuote stream with OpenBook and get true realtime Quotes that are faster than CQ.
Regards,
Mark Schaedel |
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Heshan
Posts:4
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| 12/28/2006 12:08 AM |
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| Thanks Mark. I appreciate the quick reply and clearing my doubts on the delay times. |
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Heshan
Posts:4
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| 12/28/2006 2:08 AM |
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| Would the BBO coming from the NYSE Quotes feed be in sync with the OpenBook feed or would there be a slight delay in one and which one would come later or is the delay a conditional delay which could happen on either feed? |
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Ariel
Posts:170
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| 01/04/2007 5:17 PM |
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| no the OpenBook and NYSE Quotes feed are not in sync. Just to clarify, the BBO is in the NYSE Quotes feed not the NYSE OpenBook feed. The quotes that you see in the NYSE Quotes feed is the book interest+the crowd interest. On NYSE OpenBook, the reference price (Top of Book) only reflects the limit orders on book. |
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berlichman (guest)
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| 01/05/2007 9:43 AM |
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On the same subject of quotes, I'm using historical daily TAQ files and OpenBook History
files and, not being very 'NYSE literate":
1. What is the difference, in layman's terms, between quotes appearing on the:
Stock NBBO files,
Stock Quotes files
OpenBook files?
2. If I wanted to match/compare a NYSE trade with the nearest (time-wise) NYSE quote,
which quote file would be most appropriate?
Much thanks. |
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Ariel
Posts:170
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| 01/05/2007 4:40 PM |
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1. The NBBO files containts the National Best Bid and Offer quotes only. So of all the quotes generated by all the markets these are the quotes identified by the National Market Systems as the best quote available. The TAQ Quotes files contains all of the quotes. The OpenBook Files do not contain the NYSE Quotes. NYSE OpenBook provide a view of the NYSE Limit Order book.
2. To match an NYSE Trades to an NYSE Quote, using the TAQ product, you would use the TAQ Trades and TAQ Quotes files. |
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daytrader (guest)
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| 02/16/2007 1:35 PM |
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1. is there a way to differentiate cancelled orders from executed orders from openbook data. i.e. I want to know when a price level disappears from the book, is it because it got executed or is it becuuse it got deleted.
2. Also when CQS sends a new quote, does it mean the old quote is invalid ? |
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Ariel
Posts:170
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| 03/13/2007 4:59 PM |
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1. There is no way to differentiate a cancelled order from an execution in the current openbook feed. That is an enhancement we are considering.
2. Yes, once a new quote is issued for a particular symbol it replaces the previous quote |
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guest (guest)
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| 06/16/2009 10:00 AM |
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"1. The NBBO files containts the National Best Bid and Offer quotes only. So of all the quotes generated by all the markets these are the quotes identified by the National Market Systems as the best quote available. The TAQ Quotes files contains all of the quotes. The OpenBook Files do not contain the NYSE Quotes. NYSE OpenBook provide a view of the NYSE Limit Order book."
In your reply, it seems Daily TAQ quote file contains more infor than openbook data, right? but what is the different between these two types of data and make one is called "level one" data and the other is called "level two data"?
Thanks
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