Nanex Gets $700k Whistleblower Award from SEC

>Err, No. You can parse FIX with an FPGA if you feel like it.

That's true but no one said you couldn't. What I said was that FIX based feeds would be slower than binary ones. I stand behind this.

I also said that some binary feeds come with an FPGA card for parsing them, you are of course free to use your own FPGA to parse a fix feed or binary feed, but the binary feed will be faster due to it being smaller.

>The differential will be CoLocation vs dedicated line vs internet delivery on a base level and then differing subsets of feeds to varying liquidity pools.

This is wrong, but its not your fault, its clear you aren't in the industry or really understand it at all and that's ok.

Colocation is part of what you pay for, but the latency and bandwidth of the feed itself also is part of what you pay for. You'll also pay for the type of data you receive and the SLA contract that dictates how fast you'll receive your data at the 99.99% level.

Feel free to mail me if you'd like to learn more!

> Exotic quote types and being paid for making the cross is where this explanation seems to hit market realities.

What exactly is an "Exotic quote type"?

Do you mean order type because there is a huge difference. If you don't understand the difference it makes it hard to take your assertion seriously.

Congrats on being rewarded and recognized for the very important work you do in bringing transparency to the financial markets. The whole story of how this went down is just epic!

My question is about the business side of Nanex. Are sales of your products such as NxCore enough to sustain the company? Do you also actively trade? And what opportunities do you see currently around data science and machine learning for entrepreneurs in the quantitative finance world?

The fundamental issue is Fisher consensus - arbitrage is a feature in other words.

Well just to clarify a little. There are 2 different concepts that sound sort of similar.

1) A dark pool. This is just another name for an exchange, but one that is not public. I don't know if NYSE runs one, but it wouldn't be surprising. The theory behind these is that they are provided as a service to large institutional investors to trade with each others outside the vagaries of the public markets for lots of reasons (mostly advertised as a way to not impact prices). The reality of these has been mixed at best. You have to opt into using a dark pool.

2) Payment for order flow. In this case your broker (not the exchange) has an agreement with a third party to sell your trades to them so that they can either trade with you directly or route the trade to an exchange. The reason they want to do this is that the aggregate of all the trades they are buying is not price opinionated (as opposed to hedge funds say) so the market maker can make the aggregate difference between all of them. This mechanism is largely how all discount brokers offer cheap or free trading, so it is likely a huge boon to you. A couple of things to note about this, your broker has to disclose it to you, I believe you are still required to get the NBBO price, & I believe you are required to be able to opt out by directing your order to be directly routed.

[edit] To clarify your question `jsprogrammer `tptacek is referencing #2 above. The reason the technical oddities & violations at NYSE don't have a huge impact on a retail investor is that unless otherwise stated, they are interacting with a wholesale market maker before their order hits any exchange, in a deal worked out with your broker and governed by legal obligations on both their parts.