I helped structure a new documentary for the folks at VPRO, the makers of Quants: Alchemists of Wall Street [6] and Money & Speed: Inside The Black Box [7]. We were filmed in NYC for our small part with Haim Bodek and the Sang Lucci guys [8]. The documentary will air Novemeber 4th. Today, VPRO released a teaser into the video with an interview with David Lauer discussing the Flash Crash from his perspective on that fateful day.
With the complexity we have in our system, it's no wonder we do not have more crashes. Lets recap a little bit on our UTP SIP information....
Unlisted Trading Privileges Securities Information Processor is better known as UTP SIP, which process all NASDAQ listed securities. The “SIP” is made up of one network, known as Tape C, which brings UTP Quote Data Feed and UPT Trade Data Feed into a single source. UTP isn’t a business, it is a right under the Securities Exchange Act of 1934 which permits securities listed on any national securities exchange to be traded by other such exchanges. The 13 participants are:
- BATS
- CBOE
- Chicago Stock Exchange
- Direct Edge
- FINRA
- Int’l Securities Exchange
- NASDAQ OMX BX
- NASDAQ OMX PHLX
- The NASDAQ Stock Market
- National Stock Exchange
- NYSE
- NYSE MKT
- NYSE ARCA
NASDAQ has updates on their site under FIF Message Traffic Rates for NASDAQ & UTP Data Feeds [9] under UTP News at the bottom….not surprising; August peak message rate times are dominated by the 03:59 EST period for the UTP Quote Feed, usually HFT and ETF activity is responsible for such a consistent and regular time period of peak message traffic:
Given the amazing complexity under pinning every market particpants interaction with the matrix US Equity market, it's understanable how message formating and sharing problems can cause total havoc within an automated system. I'll get more of this up soon enough but for the time being, if you wish to learn more please reference the OCT Montage PDF after the video at the bottom of this post.
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Here's the preview to Wall Street Code...
OTC Montage Data Feeds [10] by calibrateconfidence [11]