Nanex is wonderful to read, but IMO they frequently misinterpret the data. Off the top of my head:
- They only use consolidated feeds for US equities, never direct market-data feeds. The consolidated feed necessarily contains less information that direct feeds (to satisfy more stringent bandwidth requirements), which masks some "interesting" effects of how the exchanges publish their data.
- They disregard that the CME feed publishes a fixed depth-of-book, and whenever they look at total liquidity in the book it can appear to flicker when deep levels fall "out" of the back of the book, even if liquidity is actually improving with the presence of a new inside level.
- They make a big deal about wholesaler matching only occurring when the consolidated book is not locked. Their rationale is that subpenny prices are always wholesalers, and (erronously) therefore a lack of subpenny-priced trades must mean a lack of wholesale matching.
These mistakes sound believable, but they do not hold up to any of scrutiny. Use their site to find interesting events, but be very careful about taking their conclusions at face value.
That's why I thought the DNQ iqfeed was a suitable choice - no consolidation at all. Would love to know what the "interesting" effects are (beyond the fixed book CME effect) - will be looking a bit harder at the stream to find them!
- They only use consolidated feeds for US equities, never direct market-data feeds. The consolidated feed necessarily contains less information that direct feeds (to satisfy more stringent bandwidth requirements), which masks some "interesting" effects of how the exchanges publish their data.
- They disregard that the CME feed publishes a fixed depth-of-book, and whenever they look at total liquidity in the book it can appear to flicker when deep levels fall "out" of the back of the book, even if liquidity is actually improving with the presence of a new inside level.
- They make a big deal about wholesaler matching only occurring when the consolidated book is not locked. Their rationale is that subpenny prices are always wholesalers, and (erronously) therefore a lack of subpenny-priced trades must mean a lack of wholesale matching.
These mistakes sound believable, but they do not hold up to any of scrutiny. Use their site to find interesting events, but be very careful about taking their conclusions at face value.
Edit: bullet-list formatting