PART 1 OF 2: VENUES, QUOTES & PRICES

1. THANK YOU FOR JOINING OUR WEBINAR
DEMYSTIFYING
US EQUITY QUOTES & PRICES
PART 1 OF 2: VENUES, QUOTES & PRICES
xignite
Presented by
Stephane Dubois
August 2012 www.xignite.com – Copyright © 2012 – All Rights Reserved

2. AGENDA
 Part 1: Venues, Quotes & Prices
• Background
• US Equity Venues
• Types of Quotes & Prices
• Data & Money Flows
 Part 2: Costs, Delivery & Integration
• Fees, Agreements, Reporting & Usage
• Delivery and Integration
• Which Solution Is Best For Me?
• Demonstration
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3. BACKGROUND
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4. AUDIENCE
 Job Type
• Developer
• Product/Project Manager
• Business Owner/Decision Maker
 Level of Expertise
• Novice/Intermediate
• Not a low-latency person
 Purpose
• Learning about industry
• Building/rebuilding application(s)
• Mobile/Web/Mid-Office, Front-Office
• Want to find easiest/cheapest way to get US equity data meeting
your needs
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5. HOW HARD CAN THIS BE?
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6. ASSET CLASSES
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7. TYPES OF EXCHANGES
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8. THE REGULATORY VIEW
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9. US EQUITIES VENUES
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10. HISTORY OF US STOCK EXCHANGES
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1800’s 1900’s 2000’s
1790 Board of Brokers
Philadelphia 1875 1949 1954 1969
Stock Exchange Baltimore Washington Pittsburgh
Boston Stock Exchange (BSE)
1834 1967 Instinet 2003
1998 Island ECN INET
NASDAQ & AMEX OMX NASDAQ
1971 NASDAQ Market Group BX NASDAQ PHLX
2005 2007 2007 2008
1938 NASD FINRA
2002 NYSE Regulation 2007
1908 1929 1953 1998 2002
New York Stock Exchange (NYSE) 2006 2007 NYSE AlterNext NYSE Mkt
Archipelago NYSE Arca 2008
1817 Securities 1997
2005
Los Angeles Oil Exchange Exchange
EuroNext
San Francisco Stock and Bond Exchange Pacific Exchange ISE Stock Exchange
1882 1957 2006
Attain ECN Knight DirectEdge
1998 2005 2007 CHI-X Europe
BATS Trading 10
St Louis – Cleveland - Minneapolis New Orleans
1949 1959 2005 2011
Chicago Stock Exchange (CHX)
1882 1993
Cincinnati Stock Exchange National Stock Exchange
1885 2003 CBOE Stock Exchange
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11. TRADING VS. LISTING
 About Listing
• The primary listing exchange is the main
exchange were a security is bought/sold. Institutions Individuals
• Not all market centers list (only NYSE,
NASDAQ, CHX and BATS are).
• An exchange can be approved for listing
yet have none or few listings. Institutional Retail Market
 About Trading
Broker/Dealers Broker/Dealers Makers
• Exchanges must by law provide best
execution, which means routing orders to
other market centers.
• Orders can be routed to a given market
center directly. Order
Matching
• All market centers execute orders for
securities they do not list.
• Some are not even the first market center Order
Routing
for securities they list.
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12. LISTINGS BY ASSET CLASS
NASDAQ NYSE NYSE ARCA NYSE MKT CHX BATS
48 16
100% 17
358 129
2
90% 3
80%
1,831
70%
1,176
60%
50% 427 318 21 19 5 3
12
40%
30%
2,515
506
20%
10%
242
0%
Common Funds Structured Preferred ADS Warrant Unit NYRS Rights
Products
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13. MARKET SHARE
NASDAQ NYSE BATS DirectEdge CBSX CHX NSX
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Shares Value Trades
xignite Source: BATS (June 16-July 15 2012) 13

14. MARKET SHARE
NYSE NASDAQ Regionals
Total
Listed Listed Listed
NASDAQ 16.5% 30.1% 21.7% 21.1%
NYSE 31.8% 12.3% 20.5% 24.7%
BATS 11.0% 13.1% 14.9% 12.2%
DE 8.8% 10.1% 9.7% 9.3%
CBSX 0.5% 0.4% 0.6% 0.5%
CHX 0.2% 0.3% 1.0% 0.4%
NSX 0.3% 0.4% 0.3% 0.3%
NYSE MKT 0.0% 0.1% 1.0% 0.2%
Others 30.8% 33.2% 30.3% 31.4%
Total 100.0% 100.0% 100.0% 100.0%
xignite Source: BATS (June 24-July 23 2012) 14

15. EXAMPLE: FB’S FIRST 10 SECONDS
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16. OTC MARKETS
• Since 1913 (“Pink Sheets”) •A system, not an exchange
• Interdealer Quotations •Interdealer Quotations
• Private Company •Different From NASDAQ
 Companies •Operated by FINRA
• 9000+ Companies Companies
• No Filing Requirements •8000+ Companies
• Small Closely Held •Filing Requirements
• Thinly Traded •Delisted Companies
 Multiple Levels •Dually Quoted
• OTCQX, OTCQB, OTC Pink, etc.
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17. AND HOW ABOUT….
 MUTUAL FUNDS?
• Different from Exchange Traded Funds.
• Not traded on stock exchanges.
• No quotes and prices, only NAVs (Net Asset Values).
• Reported through NASDAQ’s Mutual Fund Quotation System.
 INDICES?
• Not securities.
• Not traded.
• No quote and prices, only values.
• Calculated by the index company or exchange.
• Subject to completely separate licensing and rules.
 Subjects of future webinars…!
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18. TAKE-AWAYS
 US equity markets are complex and fragmented:
• Stocks are traded in 15 exchanges and dozens of market centers.
• Stock exchanges trade more than just stocks.
• Some stocks are traded on many exchanges.
• Some stocks are traded over-the-counter.
• Much activity occurs in dark pools.
• No exchange can provides a full quote picture.
• Even the primary listing exchange for a stock tends to only
perform a fraction of the trades for that stock.
 All of this impacts quotes and prices…
• What is the quote or price for this stock is not an easy question.
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19. TYPES OF QUOTES & PRICES
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20. THE 3 CONSIDERATIONS
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21. DELAY
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22. DEPTH
LAST SALE BEST BID OFFER (LEVEL 1)
DEPTH OF BOOK LEVEL 2
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23. DEPTH TERMINOLOGY
 Clarifications
• Last Sale and Last Price have the same meaning (Last Trade Price)
• Close Price is the Last Sale price at market close
• Offer and Ask are often used as synonyms
• A Quote is really a bid or an offer although the term is often used
to indicate a BBO
• NBBO is the best nationally consolidated quote (CTA)
 Depth of Book and Level 2 Info are often confused
• Their meaning can vary
• Level 2 is sometimes used to indicate Depth of Book
• Level 3 is sometimes used to indicate Level 2
 Volume is derived from the Trade Quantity
• Calculations are done by quote vendors
• Other fields are also derived (change, etc.)
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24. BREADTH OF COVERAGE
INDIVIDUAL
EXCHANGE
vs.
CONSOLIDATED
TAPE
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25. CTA
 Consolidated Tape Association
• Oversees the dissemination of real-time trade and quote
information (SEC Regulated)
• All equity exchanges are members
 Consolidates trades and quotes data
• Consolidated Tape Plan (CTP)
• Consolidated Quote Plan (CQP)
• Operating authority for CTS and CQS
• Operates its own infrastructure (SIAC)
• CQS calculates the NBBO (National Best Bid and Best Offer)
 Consolidates end user fees from exchanges
• All CTA feeds are fee liable
• Redistributes fees among exchanges based on quotes issued
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26. EXCHANGE SPECIFIC DATA
 Only data from that exchange
• Only includes securities traded on that exchange
• Can combine multiple exchanges (e.g. NYSE + Arca + MKT)
• Coverage of stock universe varies by exchange
• Includes securities listed in other exchanges
• Liquidity and coverage varies by security
• Only include Bid, Ask, and Last Sale from that exchange
• Volume is limited to that exchange too
 Not subject to the same fees as CTA fees
• Exchange have more pricing flexibility
– No user fees for certain depth options (last sale, BBO)
– Usage based pricing
• All pricing policies must be approved by SEC
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27. DEPTH BY EXCHANGE
Exchange CTA Level 2 Depth of Book BBO Last Sale
NYSE CTA Network A NYSE OpenBook NYSE BBO Composite RRP
CTA Network B NYSE OpenBook MKT BBO NYSE RRP
MKT OpenBook Arca BBO NYSE Trades
MKT OpenBook ARCA RRP
ArcaBook Web ARCA Trades
MKT RRP
MKT Trades
NASDAQ UTP Level 1 NASDAQ Level 2 NASDAQ Basic NASDAQ Last Sale
FINRA Level 1 NASDAQ TotalView PSX Basic PSX Last Sale
PSX TotalView BX Basic BX Last Sale
BX TotalView
BATS DROP Multicast Pitch TOP
(authorized only) TCP Pitch
DE EdgeBook EdgeBook Depth
Attributed
CHX CHX Book Feed
CBSX CSM
NSX NSX Depth of Book
(members only)
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28. IMPACT ON COSTS
 DELAY
• Real-Time data is generally fee-liable and
requires exchange agreements (BATS is the
exception).
• Delayed data is non-fee liable but requires
exchange agreements and admin fees for
NASDAQ (not for NYSE).
• Historical data is non-fee liable.
 DEPTH
• Last Sale data is generally cheaper than BBO,
Depth of Book, or Level 2 data for a given
exchange (BATS is again the exception).
 BREADTH
• CTA data is fee liable.
• Exchange-specific data is priced specifically by
each exchange using different pricing models.
• Some exchanges make all data non-fee liable.
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29. DATA & MONEY FLOWS
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30. THE 3 COST FACTORS
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31. THE FLOW OF DATA
Feed Feed Feed/API App
USER
EXCHANGE
USER
VENDOR
EXCHANGE USER
EXCHANGE SUB
VENDOR DISTRIBUTOR
VENDOR
USER
EXCHANGE
VENDOR USER
EXCHANGE
USER
Collects Consolidates Packages/Presents
Owns Consolidates Distributes Distributes Consumes
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32. THE FLOW OF MONEY
License Right
To Use
License Right License Right License Right USER
EXCHANGE To Distribute To Distribute To Distribute
USER
VENDOR
EXCHANGE USER
SUB Pays For
EXCHANGE VENDOR DISTRIBUTOR Access
VENDOR
USER
EXCHANGE Pays For
Pays For Access
VENDOR USER
Access
EXCHANGE
USER
Pays For
Access
 Two Types of Money Flows
• Data Licensing Fees
• Data Delivery/Access Fees
 Italics are Optional
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33. CONSIDERATIONS
 Vendors and Sub-vendors are optional
• You can go direct to the exchange
• Exchanges can be distributors
 Access fees & license fees can take different forms
• Monthly fee per firm for Distributor or Administrative Fees
• Monthly fee per feed for Network Access Fees
 More flexibility around user fees
• Monthly fee per user (CTA)
• Usage fees (per quote)
• Special treatment for certain devices (wall-board, TV, etc)
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34. PART II
 Fees, Agreements, Reporting & Usage
 Delivery and Integration
 Which Solution Is Best For Me?
 Demonstration
 Q&A
 Part II will be released within 2 weeks
 If you saw this webinar, we will send you a link to
the next one.
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35. RESOURCES
 NASDAQ
• www.nasdaqtrader.com/Trader.aspx?id=DPSpecs
• www.nasdaqdod.com
 NYSE
• www.nyxdata.com/Data-Products/Real-Time-Data
 BATS
• www.batstrading.com/market_data
 DIRECT EDGE
• www.directedge.com/data.aspx
 SEC
• www.sec.gov/divisions/marketreg/mrexchanges.shtml
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36. For more information: info@xignite.com
Presenter: sdubois@xignite.com
THANK YOU Twitter: @sdubois
LinkedIn: http://www.linkedin.com/in/sldubois
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