Citi today announced it has completed Reg NMS enhancements to its Lava Trading Feed market data solution.
Complementing the patented order book display technology of Lava ColorBook, Lava Trading Feed now allows users to request the Reg NMS protected quote montage showing all the SRO quotes and their protected status. While Citi customers realize price improvement by using its full depth order book, constructed from a mix of direct and national feeds, the protected quote montage provides insight into the quotes from the "Top of Book," quotes from the SIP and CQS national feeds that are subject to trade-through protection.
"Timely delivery of market data is critical in the post Reg NMS world," said Jim Weber, Managing Director, Citi's Electronic Trading Solutions. "The enhancements to Lava Trading Feed are in keeping with Citi's commitment to ensure our customers not only meet Reg NMS requirements, but also achieve best execution and opportunities for price improvement."
The Lava Trading Feed is a subscription-based market data feed that consolidates information originating from exchanges and ECNs operating within the US equity market. It provides a low latency, full depth view of the liquidity across all US equity markets, presenting a consolidated order book, ideal for electronic trading applications.
Lava Trading Feed now also provides support for "Quote condition only" data requests, alerting users when the quote condition for a symbol has changed, without requiring the user's application to consume the individual quotes. In addition, check points have been embedded throughout the back end of the ticker plant that monitors latency from the vendor and through each system component. These agents generate alerts when latency increases beyond the expected threshold.