Notes on April 11 meeting

Broad topics mentioned

• Measuring market quality
• Aggressive strategies and stability ("cascading triggers")
• Equity (fairness)
• Market makers / Intermediaries
• Perception of decreased liquidity. Sense that even small trades move the market by a lot.
• Fragmentation (particularly international fragmentation)

Andrei refered to the report of the Joint CFTC-SEC Advisory Committee on Emerging Regulatory Issues ("Recommendations regarding regulatory responses to the market events of May 6, 2010"). It is posted at http://www.sec.gov/spotlight/sec-cftcjointcommittee/021811-report.pdf.

Just to try to figure out who gets market data when, I've pulled the following together:

CME timing

Most of the CME's non-Globex data is time-stamped to the second, and because it goes through distributors, we can presume a high latency.

• The time and sales data sold on the CME site are time-stamped to the second. See http://www.cmegroup.com/market-data/datamine-historical-data/files/TxSLayoutguideCSV.pdf .
• The CME sells an internet-based product called E-quotes. Judging from the screen shots, the time stamps on the Euote products are to the second (see https://www.cme-equotes.com/features).
• The market data passed on to distributors are apparently time-stamped to the second. See the Inter-Exchange Technical Committee (ITC) specifications at http://www.cmegroup.com/market-data/distributor/files/ITC221.zip.

The basic CME-provided routing software for Globex is apparently iLink. iLink's technical documentation suggests that time-stamps are millisecond, but there is no indication of when these timestamps are generated (when an order arrives? when a message is broadcast?). See Developing to CME Globex at http://www.cmegroup.com/globex/developing-to-cme-globex/, and in particular the message specifications at http://www.cmegroup.com/globex/files/SDKiLinkMessageSpecs.pdf.

ICE

ICE technology is summarized in https://www.theice.com/publicdocs/technology/ICE_Connectivity_Models.pdf. ICE seems to be less centralized than Globex. There are two data centers (in Chicago and Atlanta). It would not make sense for the two centers to be simultaneously trading in the same contract, but I am not sure how functionality is allocated.