With the fragmentation of the US equity market in recent years, it’s harder than ever to see the full market particularly for NASDAQ listed securities. Each of the major execution venues – NASDAQ, INET, ARCA, TotalView (ITCH), Direct Edge, BATS, Pink Sheets, TSX, CME/RLC, and others - provide datafeeds that let you see their full depth of book, but to see the full market, you have to look at each individually.

 

The IT Consolidated Order Book Server (ITOB) from InfoDyne re-assembles the market. It lets you view the entire market, to the depth you want, and in the way (or ways) that you want.

 

The ITOB receives real-time full-depth order book data direct from each of the major market centers via the following datafeeds:

By taking the data direct from the source, you are ensuring that you receive the data as fast or faster than anyone else. And now that NASDAQ feeds are available over SAVVIS and Radianz in addition to MCI, you can choose your network provider.

 

The ITOB is built on the standard TPS+Plus API, allowing it to take full advantage of the range of connectivity and integration options that TPS+Plus provides. Adapters for TIB, Triarch, and RMDS systems make all TPS+Plus data available over these platforms. What’s more, support for the data models most commonly used in these environments allows the data to be used in existing applications without requiring any modification of the application. The ITOB can be configured to publish order books using the same forms, record templates, and fields you are used to.

 

The server normalizes the data received from each of the feeds and maintains a single cache of all open orders/quotes across all feeds. This allows the server to deliver a complete consolidated order book for any symbol at any time, in response to a request from a client application.

 

Applications can request a consolidated order book for any symbol at any time. The book that’s delivered gives a consolidated view of the entire market. And unlike relying on the Nasdaq TotalView feed by itself, the consolidated book includes the speed and depth of each of the major ECNs that can only be achieved by taking in their feeds directly.

 

Users have a choice of full aggregation, partial aggregation, or no aggregation. This allows you to see total market size at each price level, individual market center size at each price level, or individual orders at each price level.

 

As part of the support for the Nasdaq TotalView feed, the server publishes Net Order Imbalance Indicator fields from NASDAQ. These fields are published for both the opening and closing cross during the minutes leading up to the cross and provide the best indication of the price at which the market is likely to open or close.

 

Just like everyone else, we are closely watching the evolution of NYSE and will add support for NYSE Open Book when it goes real-time. NASDAQ OpenView is already supported, covering NASDAQ quotes on exchange-listed securities. Other feeds can and will be implemented on demand.

 

The ITOB lets you see the market the way you want to see it. In addition to choosing which type(s) of books to publish (consolidated or individual; full, partial, or no aggregation), you can choose which feeds to use, which integration options you require, and what data model(s) to use. So stop looking at only a piece of the market, or doing the work of assembling all of the pieces into a consolidated view. Let the ITOB deliver data in the most effective way to run your trading applications.