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»Forums Index »Product Support »DTN Satellite Products »NASDAQ Level II plus Equity Options
Author Topic: NASDAQ Level II plus Equity Options (3 messages, Page 1 of 1)

msearles
-Interested User-
Posts: 16
Joined: May 12, 2004

Software for DTN RealTime Satellite


Posted: May 25, 2004 12:58 PM          Msg. 1 of 3
I'm looking at adding support for NASDAQ Level II to TRAX.

Can the receiver (D8080) support NASDAQ Level II and Equity Options at the same time?

Currently TRAX enables the receiver on a database level (i.e., to receive ALL symbols for each database). I envision that for Level II, TRAX would have the capability to monitor,
say a few hundred Level II symbols using the database watchlist of the DTN receiver.

What would you think would be an upper limit on the number of symbols to feasibly watch
on Level II? (With and without equity options)

TRAX: DTN RealTime
Software for DTN RealTime Satellite
http://trax.base16.com

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 25, 2004 01:38 PM          Msg. 2 of 3
We do have redistribution customers processing equities, options and level II from the D8080 currently. Obviously you will need to be running Ethernet only (Serial and USB won't be able to keep up). As for Level II, it doesn't lend itself to processing in a watch list mode. Instead, you will receive all level II data and need to process it. You will get a flood of all MMID updates.

If you are concerned about the number of symbols you can watch, you would want to run in broadcast mode instead of watch list mode and let your application filter the symbols down. I don't know what the limit of symbols is for the box when it is "watching" for you, but the more symbols in the watch the box has to process the slower the box is going to be processing requests.

Jay Froscheiser
DTN Market Access, LLC.

DTN_Nathan_Bartsch
-IQ Developer-
Posts: 33
Joined: May 3, 2004

Telvent DTN


Posted: Jun 2, 2004 10:28 AM          Msg. 3 of 3
While the D8080 is capable of monitoring hundreds of level two symbols, it is only recently that this could be put into practice. The receiver has recently added a 0x09040131 cross reference file. This file currently contains the symbol and mmid for each record number in the 0x09000131 database. This would allow you to watch only selected records for a specific set of symbol(s) using the watchlist capability of the receiver. There is one disadvantage however; the cross reference is only updated during the nightly refresh.. This means that any MMIDs that have expired or not quoted before for a given symbol will not appear in the cross reference as soon as they quote (they will appear in the cross reference the next day). It is a trade-off that could be made for performance reasons, but again the data would be incomplete if additional market makers started quoting....

In case you're wondering, the level two client in the DTNiQ satellite product currently watches the entire level two database, but we have plans to eventually use the 0x09040131 file to try to reduce the overhead, if requested by the user...

Nathan W. Bartsch - Senior Software Engineer - DTN Market Access
 

 

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