Friends,

Since our May 11th paper on Data Feeds, where we pointed out some of the issues regarding data feed leakage, including  order ID issues, and hidden liquidity issues, we thought we should follow up, and more importantly, ask you to follow up, as you all have the power.

BATS has changed some aspects of their feed. They agreed initially to obfuscate order ID numbers in response from their clientele, as they pertained to reserve orders, matching orders with executions, and hidden orders on BATS. They have agreed to do this overseas, as well as in the US.  BATS has since made the obfuscation of order ID’s implementation to its hidden order flow, but not to its reserve order flow. They cite the need for more time to analyze and implement an optimal solution. You should all be aware of this.

We have heard nothing from NASDAQ on any changes it has made, if it has in fact made any changes.

And although we did not mention other exchanges  and ECN’s  in our paper, they allegedly may have  some data feed issues also, so you may want to inquire about how they are handling unique order ID numbers, and the treatment and safeguarding of hidden orders, and matching order ID’s to executions.

We feel it is important to not let our collective guards down.

We will continue to press for change that the owners of the markets want, and to do so by any available means.

Your Friends at Themis