DATABENTO WIKI

The definitive guide to market microstructure

Key terms and concepts for quants, algorithmic
traders, and market analysts.

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All terms

A

Ask Alternative trading system (ATS) Additional hold time (AHT)

B

Bid Boundary switch Binary protocol Bid-ask spread Broker preferencing

C

Consolidated Tape Association (CTA) Cancel on disconnect (CoD) Circuit breaker Client library Continuous contract Colocation Cross-connect fees ClearPort CME Globex CME Direct Consolidated Tape System (CTS) Consolidated Quotation System (CQS)

D

Direct market access (DMA) D-quote Down-modify

E

End of day Electronic communication network (ECN) Execution management system (EMS)

F

FINRA TRF FINRA ADF FINRA ORF FINRA TRACE Fiber equalization FIX FIX engine FIX FAST Financial transaction tax (FTT) Fixed income Futures

G

H

I

Implied depth ITCH

K

L

Liquidity L1 L2 L3 Latency, wire-to-wire Latency, socket-to-socket Latency, port-to-port Latency, tick-to-trade Latency equalization Limit up-limit down (LULD)

M

Market by order (MBO) Market by price (MBP) Mass quoting Mass cancel MiFID I, MiFID II, and MiFIR Market Access Rule Matching algorithm Matching engine Managed services provider Mid-frequency trading (MFT) Messaging library Margin control Market microstructure Markout

N

NMS stock NYSE Pillar NYSE Integrated NYSE Arca Integrated Normalization

O

Over-the-counter (OTC) Organized trading facility (OTF) OUCH Options Price Reporting Authority (OPRA) Order management system (OMS)

P

Proximity hosting Precision Time Protocol (PTP) Purge port PITCH Parity/Priority Allocation Price-broker-time priority

R

Regulation NMS Rule 612 Rule 603 Rule 15c3-5 Rule 611

S

Securities information processor (SIP) Self-match prevention Sub-Penny Rule Swap execution facility (SEF) Simple Binary Encoding (SBE) Securities Industry Automation Corporation (SIAC) Stamp duty Spoofing SPAN Swaps Self-help

T

Tick size Tick Size Pilot Program T7 Tag 50 T7 Enhanced Order Book Interface (EOBI) T7 Enhanced Market Data Interface (EMDI)

U

Unlisted Trading Privileges (UTP) Unicast UTP Trade Data Feed (UTDF) UTP Quotation Data Feed (UQDF)

V

Volatility Vendor Display Rule

W

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