Simplified quote sharing calculation
Presented is a method for calculating and distributing quoting share revenue to exchange members that contribute quote data to market data feeds. First, the method reads in trading data chronologically for a particular day. Using an object oriented framework, the method divides the symbols and orders into groups of objects to facilitate the tracking of the total price, quantity, and seconds displayed for each symbol. The timestamp of each message is read and the seconds field is parsed ignoring fractional seconds. Credits are awarded for each second the quote is displayed at the National Best Bid/Offer (“NBBO”) by multiplying the price, quantity, and elapsed whole seconds. These quote credits are stored by the system for each member and symbol. Members are eligible to earn quote credits on either the bid or the offer or both at the same time.
1. A method for a Self Regulated Organization to calculate and attribute quote share credits to its members comprising the steps of:
a. storing on a computer readable medium by a processor executing processing instructions inputted trading data for a trading day , the trading data including a plurality of messages corresponding to at least one displayed order;
b. dividing the trading day into one-second intervals by the processor executing processing instructions ;
c. retrieving from the computer readable medium the trading data by the processor executing processing instructions;
d. determining from the plurality of messages that the displayed order was displayed and available to trade for one full second or more at a beginning of one or more one-second interval by the processor executing processing instructions, wherein a price of said displayed order is equal to the price of the NBBO, and wherein said order does not lock or cross a market;
e. calculating quote credits of said determined displayed order by multiplying the price times the quantity of said displayed order at each interval by the processor executing processing instructions; and
f. storing said quote credits by date, member, and symbol on the computer readable medium by the processor executing processing instructions.
2. A computerized system for attributing quote share credits for a Self Regulated Organization comprising:
a first memory;
input trading data for a trading day stored in the first memory, wherein the input trading data includes a plurality of messages corresponding to at least one displayed order;
a processor connected to the first memory;
a first algorithm operable by the processor for dividing, trading day into one-second intervals and for determining that the displayed order was displayed and available to trade for one full second or more at a beginning of one or more of the one-second intervals at a price equal to an NBBO price and that the displayed order does not cross or lock a market; and,
a second algorithm operable by the processor for calculating quote credits for the identified displayed order by multiplying the price times the quantity of the order at each one-second interval and for storing the calculated quote credits in the first memory.