Joseph Saluzzi ( and Sal L. Arnuk ( are co-heads of the equity trading desk at Themis Trading LLC (, an independent, no conflict agency brokerage firm specializing in trading listed and OTC equities for institutions. Prior to founding Themis, Sal and Joe worked for more than 10 years at Instinet Corporation, pioneers in the field of electronic trading, and at Morgan Stanley.


You have long heard us talk about the private data feeds that the stock exchanges either sell or give away to their clients.  Exchanges are quick to point out that these data feeds are available for everybody to access.  We have always been suspicious as to what information exactly is inside these feeds.  Last year we highlighted the fact that some exchanges were providing information that allowed subscribers to ascertain if there was a large buyer or seller using a hidden or reserve book order Data Feed Paper After our paper was published, institutional outrage forced some changes to the order id numbers that were attached to these orders.

Prior to the outrage, we heard from the usual pro-HFT crowd and they basically were saying that the id numbers didn’t matter much and we were making a big deal out of nothing.  Well, in a recent SEC filing Read SEC filing here, the folks over at Direct Edge seem to agree with us.  They said:

“The Exchange believes that the random order identification number would help deter other market participants from being able to trace the life of a specific order, including short-term price movements and trading patterns.”

Wow, thanks for admitting that guys.  But what else is exactly in these data feeds that you provide.  Direct Edge notes this in their SEC proposal:

“The EDGX Book Feed contains the following data elements: all displayed orders for listed securities trading on EDGX, order executions, order cancellations, order modifications, order identification numbers, and administrative messages.”

The question that we have is: Who owns the data? We can understand the exchange publishing quotes and trades in their direct data feeds because those are visible on most trading systems and are provided by CQS and CTS.  But,  what about all the other information in these feeds?  It’s apparent from Direct Edge’s statement that they are concerned that some members may be using information in the data feeds to model the behavior of other members and then
use that information for their own benefit.

We think you, the retail and institutional investor, own the data.  After all, it is information on your order that is being sold and distributed to high speed traders so they can model your behavior.  Exchanges have given you the ability to opt out of certain order id numbers.  We think that exchanges should also give you the ability to opt out of their private data feeds altogether.  Speak up and demand that you can opt out of these private data feeds.

Category: Trading

Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data and lack of respect for scientific knowledge. Be sure to create straw men and argue against things I have neither said nor implied. If you could repeat previously discredited memes or steer the conversation into irrelevant, off topic discussions, it would be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.

6 Responses to “Just Opt Out”

  1. Nick says:

    Great to point this out. It is a major issue with HFT and in addition location of servers very close to exchanges, which one can look at it as the high tech way to front run. IMHO.

  2. ndmaster says:

    Why do the exchanges do this? Do they not know that it could eventually corrupt their data feeds, especially if enough investors opt out? IMO, this is bastardizing the investment business, giving people with the closest servers an edge that is not warranted and should not be legal.

    I can’t stand the fact that the answer to any problem is more tech, faster processors and closer to the exchange. A less technological trading platform/exchange would be a welcome change, but I guess I’m just old school.

  3. cynical says:

    I am confused by this statement:
    “We think you, the retail and institutional investor, own the data.”

    Umm so do you have retail and institutional investor in one cirlce and HFT shops in another with no overlap? Why?

    HFT are not a stand-alone class, they are a sub-class of institutional investors. And traders sniffing out other trades is as old as trading and some would argue IS trading. Not to make light of this but have you ever seen the movie Trading Places? I am sure you have. It is up to you to conceal your order. Stop asking everyone else to do your job – figure out how to conceal your order within the rules. Or buy yourself a data feed and get on the their side.

    Disclosure – I am not in the market other than a couple of MFs. I dont own individual stocks. And I am not an II. I am just a logical person who can recognize a crybaby.

  4. peterpeter says:

    Orders are place with an exchange either to remove liquidity from the books (i.e. a market order, or a limit order that is priced to execute against an already standing contra-side order) – or they are adding liquidity to the books (i.e. they are either adding shares to the national best bid or ask, or are improving the national best bid or ask).

    In the case where an order is removing liquidity from an order book, there is no order ID sent out on the data feeds, because the order is executed immediately upon arrival at the exchange matching engine (and all any third party sees is the trade hitting the data feeds and the removal of the shares which were previously adding liquidity to the books but were executed as the contra-side to the order in question). So, for orders removing liqudity from the book, noone can argue that their information is being published in way that they can possibly be concerned with, since no information is posted until after a trade has executed.

    On the other hand, if you are adding liquidity to the books – you are presumably doing it because you intend to trade with someone on the other side…. and it would be a very poor strategy to have your order execute if you didn’t allow the exchange you are sending that order to, to broadcast your interest at a particular price.

    If you are trying to trade in the dark so that others can’t see you dribbling out shares from a larger order, and have issues with the data feeds from a particular exchange somehow leaking information about your orders – then take your business to another exchange (how hard is it really to change the 4 letter exchange in your order??? You wrote a few hundred words on the subject, and changing an order from Direct Edge to BATS or Nasdaq would literally be a 4 character change to the order for most order entry systems) or send it to a dark pool.

    But, for the common person who does not want to have resting orders on books that are hidden from view and therefore decreased odds of actually having an order filled at their desired price – this is well, just absolute nonsense.

  5. Sechel says:

    Compare Sheila Bair and the FDIC vs John Walsh and the OCC. One is an example of how it should be done, the other the complete opposite. Sheila Bair rocks!

  6. FMT says:

    I support HF traders and have found the guys at Themis trading the most vocal critics of HFT. Today, though, I am happy to support Themis in the point they make in their article.

    Past articles from the guys at Themis have mainly focused on the traders using HF trading, the attitude of the Themis guys has been illogical, irrational, and rich in sneering condescension towards a group of traders who are just doing what traders do … using their best abilities to make profits. As long as a trader acts within the rules and law then I support him or her. HF traders might well be smarter and faster than you and I, but that’s not illegal, in fact its the basis of capitalism. Objecting to smarter, faster competitors is a Luddite attitude and it deserves to disappear into the footnotes of history, like the Luddites.

    BUT – this article from Themis makes a reasonable point, objecting to the ability for other parties to track my orders, their modification, their cancellation and so on. I have said this before (and will, no doubt, say it again), but when I give an order to a broker there is an agency agreement in place (or should be) – the broker (be it human or electronic) must act in my best interests, and my best interests alone (within the bounds of the law, of course). Anything else is intolerable. If a broker wont act in my best interests its time to find one that will. Or, as peterpeter says, direct orders to an exchange where this doesn’t happen.

    Kudos to the guys at Themis this time, don’t attack the HF traders (unless they are breaking laws), they are only doing what traders do and will always strive to do – make money. Much better to attack the arrangements that allow brokers to disregard their obligations as agents for customers best interests.