We have found numerous instances over the past few years where information is leaked from exchange proprietary data feeds.  For example, we recently highlighted how Nasdaq data feeds were leaking information when post-only orders interacted with hidden orders.  Also, a few years back we wrote a paper titled “Data Theft on Wall Street” which revealed that some exchanges were displaying an indicator in their data feed that identified hidden orders.  While the speed of data feeds is often debated, there is not much talk about the enriched content that these feeds provide and how this could be hurting traditional investors.  Is this enhanced content really (more…)

  Nasdaq has formally proposed their new Extended Life Priority Order Attribute . Before we explain why we think this is just another Nasdaq order type that will leak information about retail and institutional investors, it is important to note that this is NOT a universal speed bump that all orders must pass through.  This new Nasdaq order type is an optional order that only some customers will be able to use.    The Nasdaq proposal essentially will reward queue position to certain orders that will not cancel or revise for at least one second.  If an extended life order remains untouched for at least 1 second, then that (more…)