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THANK YOU FOR JOINING OUR WEBINAR
DEMYSTIFYING US EQUITY QUOTES & PRICES PART 2 OF 2: COSTS, DELIVERY & INTEGRATION
Presented by Stephane Dubois September2012
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AGENDA
Part 1: Venues, Quotes & Prices • Background • US Equity Venues • Types of Quotes & Prices
Part 2: Costs, Delivery & Integration • Fees, Agreements, Reporting & Usage • Delivery and Integration • Demonstration
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THE 3 COST/COMPLEXITY FACTORS
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FEES, AGREEMENTS, REPORTING & USAGE
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ABOUT FEES
Market data is not free!!! Domain is complex Change on a regular basis Subject to SEC regulation Only 3 exchanges target non-market participants:
• NYSE • NASDAQ • BATS
Other exchanges deliver feed and data but mostly targeted to firms trading on the exchange
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TYPE OF LICENSE FEES
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FEES DEPEND ON:
Source (NYSE/NASDAQ/BATS) Breadth (Single Exchange/CTA) Delay (Delayed/Real-Time) Depth (Last Sale/BBO/Level 2/Depth of Book) Connection (Direct/Indirect) Distribution (Datafeed/Hosting) Type of User (Pro/Non-Pro) Location of User (Internal/External) Type of Use (Display/Non-Display) Type of Display (Terminal/Web/TV/IVR/Billboard)
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THE FLOW OF DATA
EXCHANGE
EXCHANGE
EXCHANGE
EXCHANGE
VENDOR SUB
VENDOR DISTRIBUTOR
USER
USER
USER
USER
USER
USER
VENDOR
VENDOR
EXCHANGE
Owns Collects
Consolidates Consolidates Distributes
Packages/Presents Distributes Consumes
Feed Feed/API Feed/API App
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THE FLOW OF MONEY
Types of Money Flows • Distribution Fees • Usage Fees • Access Fees
Italics are Optional 9
EXCHANGE
EXCHANGE
EXCHANGE
EXCHANGE
VENDOR SUB
VENDOR DISTRIBUTOR
USER
USER
USER
USER
USER
USER
VENDOR
VENDOR
EXCHANGE
License Right To Distribute
Pays For Access
Pays For Access
Pays For Access
License Right To Distribute
License Right To Distribute
License Right To Use
Pays For Access
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DISTRIBUTOR FEES
Fixed monthly fees also payable monthly You pay them if you receive a datafeed
• From the exchange or a vendor/Sub vendor • Continuous feeds are considered datafeed and so is XML • Unless XML data delivered by exchange (NYSE Web Services)
The only scenarios where you don’t pay them are: • You receive data through a terminal or a “controlled” application • You receive data through a “widget” hosted by someone else
Direct Access Fees are also charged by exchanges • Whether you get a direct feed from the exchange or take the data
from a sub-vendor, you will pay for access.
Always excludes indices • Exchanges tend to license different data sets separately
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MONTHLY DISTRIBUTOR FEES
Delayed Indirect: $500/firm
Direct: $1,500/firm
+ $250 Annual Admin Fee
None n/a
Real-Time
Depth of Book
Level 2
NASDAQ:
- Internal: $1,000/firm
- External: $2,500/firm
NYSE/AMEX:
- Internal: $500/firm
- External: $1,250/firm
NYSE: $5000/firm
ARCA: $750/firm
AMEX: Pending SEC approval
None
CTA/UTP Indirect: $500/firm
Direct: $1,500/firm
NYSE Trades + Quotes
Indirect: $1200/firm
Direct: $2,100/firm
AMEX Trades + Quotes
Indirect: $450/firm
Direct: $750/firm
n/a
BBO $1,500/firm
NYSE: $1500/firm
AMEX: $750/firm
ARCA: $750/firm
n/a
Last Sale $1,500/firm
RRP NYSE: $60,000/firm
RRP MKT: $10,000/firm
RRP ARCA: $30,000/firm
ARCA Trades: $750/firm
NYSE Trades: $1500/firm
MKT Trades: $750/firm
Internal: $5K/firm
External: $25K/firm
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TYPES OF USERS
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LOCATION OF USERS
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USER FEES
Considerations • Per Query pricing sometimes available • Enterprise Licenses sometimes available • Regional Exchanges pricing also available (BX, PSX) • Non-Pro fees can be capped (easier for web/mobile apps)
Special pricing for: • Non-Display (Algo trading) • Voice Response • Television Display • Billboards Display • Unique Web Site Display (NASDAQ Last Sale)
For More Information • www.nasdaqtrader.com/Trader.aspx?id=DPSpecs • www.nyxdata.com/Data-Products/Real-Time-Data
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MONTHLY USER FEES
Delayed None None n/a
Real-Time
Depth of Book NASDAQ: Pro: $70; Non-Pro: $14
NYSE/MKT: Pro:$6; Non-Pro:$1
NYSE: Pro: $60; Non-Pro: $15
MKT: Pending SEC
ARCA: Pro: $15; Non-Pro: $5
Arcabook Web: $10
None
Level 2 NASDAQ: Pro: $30; Non-Pro: $9
NYSE/MKT: Pro:$6; Non-Pro:$1 n/a
n/a
CTA/UTP Pro: $20
Non-Pro: $1
NYSE: Pro: $127.25; Non-Pro: $2
MKT: Pro: $30.20; Non-Pro: $2
n/a
BBO
NASDAQ: Pro: $10; Non-Pro: $0.50
NYSE: Pro: $5; Non-Pro: $0.25
NYSE MKT: Pro: $5; Non-Pro: $0.25
NYSE: Pro: $15 ; Non-Pro: $5
MKT: Pro: $10 ; Non-Pro: $5
ARCA: Pro: $10 ; Non-Pro: $5
n/a
Last Sale NASDAQ: $0.60
Non-NASDAQ: $0.30
RRP: None
RRP Web Service: $.004/Request
NYSE Trades: $15
ARCA Trades: $5
MKT Trades: $10
None
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AGREEMENTS
You will need an agreement if: • You receive a datafeed or • You receive real-time data (even as an individual) • Exceptions:
– You are an individual not receiving CTA data – You are a firm receiving NYSE Delayed Data – Your are a firm or individual not receiving BATS data directly
Agreements are worked directly with exchanges: • Your data vendor can initiate the process for you and provide
contact information
Agreements will define reporting requirements
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REPORTING
Exchanges require detail reporting for: • Real-time External Professional Subscribers • Real-time & delayed Datafeed Recipients (if you are a distributor)
Exchanges do not require reporting for: • Delayed Internal and External Subscribers • Real-time Non-Professional Subscribers
BATS require no reporting Reporting is done monthly using each exchange
reporting system Exchanges bill you based on what you report
• Exchanges can back-bill you for misreported data • Exchange can audit you
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USAGE
Usage is highly restricted • Public web site display
– OK for delayed – Restricted for real-time (see next page)
• User licensing generally means you cannot display data publicly – Implicit due to fees and agreements required – Access must be password protected – Exceptions: NASDAQ Last Sale Unique Website Visitor Option
• Usage also restricted by type of fee selected – Non-Display – Television – IVR – Billboard – Web Site
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USAGE
Delayed OK OK n/a
Real-Time
Depth of Book NO NO OK
Level 2 NO n/a n/a
CTA/UTP NO NO n/a
BBO OK OK OK
Last Sale OK OK OK
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DELIVERY & INTEGRATION
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DELIVERY ALTERNATIVES
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Cloud Web Services
DELIVERY TECHNOLOGY
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DATAFEED WIDGET API
Router
Feed Parser (custom code)
App Server (caching, serving)
Internet or Leased Line
Proprietary Feed Format
Web App Mobile
App
Windows
App Web App
Mobile
App
Windows
App Web App
Provider
Web Servers
Widget Widget Widget
Widget
HTML Frame or Javascript Insert
Provider
Each widget is a web page
“PUSH”
XML JSON
CSV Data
API API API
Provider
Firm Firm
Firm
“PULL” “PULL”
CONTINUOUS BINARY FEED
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COMPARISON
PROS CONS
FEED • Every trade/quote provided
• True real-time (sometimes)
• Low-latency (sometimes)
• Heavy infrastructure (hardware, software, lines)
• Long implementation times (2-4 months average)
• Extensive development skills required (complex
feed logic, trade conditions, legacy technology)
• Extensive industry skills required (complex feed
logic, trade conditions processing, etc.)
• Complex to maintain (feed changes)
• Expensive to license (license, connections fees)
• Too much data (if you have no need for everything)
WIDGET • Easy to implement (web site change)
• Reasonably affordable
• Can dodge certain distributor fees
• Web site only (no mobile, no non-web applications)
• Branded (can take traffic away from your web site,
don’t control display, not differentiated, etc.).
• Limited “cookie cutter” functionality
• Limited ability to customize look and feel
API • Easy to implement (use of standards)
• No infrastructure (all internet)
• Quick time to market (minutes/hours)
• Affordable (pay as you go)
• Any app(web, mobile, internal)
• Customizable to your brand/needs
• Comprehensive (all price types)
• Requires development to “present” the data
according to your needs.
• Distributor fees required
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THE 3 COST/COMPLEXITY FACTORS
THESE ARE YOUR COSTS.
DO NOT UNDERESTIMATE
THEM!
CHARGED BY EXCHANGE
CHARGED BY VENDOR
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DECISION TREE
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DEMONSTRATION
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XIGNITE SERVICES
Delayed
XigniteGlobalQuotes
www.xignite.com/xglobalquotes.asmx
Real-Time
Depth of Book n/a
NYSE OpenBook Web
Service Upcoming
Powered by Xignite
n/a
Level 2 n/a n/a n/a
CTA/UTP XigniteGlobalRealTime
www.xignite.com/xglobalrealtime.asmx
BBO n/a n/a
XigniteBATSRealTime www.xignite.com/xquotes.asmx
Last Sale XigniteNASDAQLastSale www.xignite.com/xquotes.asmx
NYSE RRP Web Service www.nyxdata.com/Market-Data-
Web-Services/NYSE-Real-Time-
Reference-Prices Powered by Xignite
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DEMONSTRATION
Reviewing the API catalog Looking up an API Pulling real-time quotes in Excel Real-time Chart in Excel
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API CATALOG
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EQUITY API
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QUOTES IN EXCEL
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RESOURCES
NASDAQ • www.nasdaqtrader.com/Trader.aspx?id=DPSpecs
NYSE • www.nyxdata.com/Data-Products/Real-Time-Data
BATS • www.batstrading.com/market_data
XIGNITE • www.xignite.com/xglobalrealtime.asmx • www.xignite.com/xglobalquotes.asmx • www.xignite.com/xnasdaqlastsale.asmx • www.xignite.com/xbatsrealtime.asmx • www.xignite.com/Products/Catalog.aspx
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THANK YOU
For more information: [email protected] Presenter: [email protected] Twitter: @sdubois LinkedIn: http://www.linkedin.com/in/sldubois
