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Key Takeaways
- A direct feed publishes events from the venues covered by its product.
- Depth products provide the messages used to reconstruct displayed orders and price levels.
- Sequence handling and recovery keep the reconstructed book aligned with the event stream.
- The worked capture receives the direct event after 450 microseconds and the consolidated event after 1,300 microseconds.
- Combine venue depth with the national quote when comparing execution prices.
What is a direct market data feed?
A direct market data feed is an exchange data product that publishes events from the venues it covers. Depth feeds supply the updates used to reconstruct displayed orders and price levels, together with trades and specified auction or status messages.
NYSE Integrated, for example, provides order-by-order depth, trades, auction imbalances and security-status information. Each product’s specification defines its fields and delivery protocol.
How the order book is built from a direct feed
An add message introduces an order. Execution and reduction messages change quantity, and deletion removes it. Price-level feeds instead publish aggregated quantity at each level.
Receivers apply messages in sequence and recover missing data through the product’s recovery process. Combining multiple venue streams adds normalization across their symbols, fields and event types.
Formula
Observed feed-path latency = local receipt timestamp − exchange event or send timestamp- The two clocks must be synchronized and the selected timestamps must describe comparable stages.
- Observed latency includes transport and subscriber processing before local capture.
- It does not measure the time needed to consolidate other exchanges into a national view.
Direct feed vs consolidated feed: a timing example
A synchronized capture records an exchange event timestamp of 10:00:00.123400 and a local direct-feed receipt timestamp of 10:00:00.123850. The same venue change appears in a locally captured consolidated feed at 10:00:00.124700.
- Direct path observation: 0.000450 seconds, or 450 microseconds
- Consolidated local receipt after exchange event: 0.001300 seconds, or 1,300 microseconds
- Observed receipt difference: 1,300 − 450 = 850 microseconds
- Direct-feed scope: only that exchange’s event and book
In this capture, the direct-feed event arrives 850 microseconds before the corresponding consolidated-feed event. Match each product’s venue coverage and event fields when using the two observations.
The consolidated feed supplies the national quote reference. Pair that view with direct venue depth when comparing where an order can execute.
The worked exchange event occurs at 10:00:00.123400. With synchronized clocks, the direct-feed receipt at 10:00:00.123850 is 450 microseconds later. The corresponding consolidated-feed receipt at 10:00:00.124700 is 1,300 microseconds later.
The receipt difference is 850 microseconds. The calculation compares the same event across the two specified capture paths.
How traders use direct feed depth
Compare displayed quantity at the best price with quantity behind it. Follow additions, cancellations, replenishment and completed trades to see how that venue’s book develops.
Use the national quote and your broker’s order controls when selecting an entry. In options, options flow shows each large print’s strike, expiration, size and fill against the bid and ask, and the options profit calculator measures how each cent of entry price moves the breakeven and payoff.
Limitations of direct market data feeds
- Pair the direct feed with the consolidated feed. A direct feed covers only its own venues, and the consolidated feed supplies the national best bid and offer.
- Read the book as displayed size, and watch executions and replenishment for hidden quantity. Hidden and reserve quantity does not appear in the reconstructed book.
- Run the product’s recovery process on every sequence gap. A missed message leaves the local book wrong until recovery fills it.
- Measure latency on your own capture, with synchronized clocks and comparable timestamps. The worked 850 microseconds describes one capture, not a fixed advantage.
- Normalize symbols, fields and event types before you compare books from several venue feeds.
Bottom line
A direct market data feed can deliver a venue’s displayed depth, order changes, trades and auction messages in venue-specific detail. Use it alongside the consolidated feed’s national quote, keep the reconstructed book in sequence, and measure latency only with synchronized clocks and comparable timestamps.
Clear answers
Frequently Asked Questions
Sources and Further Reading
- NYSE: Integrated Feed
- Cboe: U.S. Equities TCP Depth of Book PITCH Specification
- SEC: Market Information Data Analytics System
How entries are sourced, calculated and updated: editorial methodology.