Missed Opportunities - Latency

Correlate Latency to Missed Trades

This Solution Helps

  • Traders
  • Retail Investors
  • Portfolio Managers
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Missing a trade opportunity is frustrating—especially when you don’t know how close the trade was to being executed or what behaviors need to be improved going forward.

Missed Opportunities - Latency is the first solution that identifies missed trades due to the latency of orders submitted to The Nasdaq Stock Market. It provides statistical information on the visible and hidden book to help improve a firm’s fill rates by finding trading patterns on individual securities. The statistics are delivered on a T+1 basis and include:

  • The latency profile of the orders you submit to Nasdaq;
  • Better trading opportunities; and
  • When and why your firm is being beaten to a trade.
Chart about Missed Opportunities Latency

After a trade, Missed Opportunities – Latency looks at subsequent aggressively priced, IOC orders that are fully cancelled within 1 millisecond of the trade. It detects cases in which a firm’s marketable order is not executed. It enumerates the total number of qualifying IOC orders missed by execution and the total number of orders missed by cancellation as well as the details of the time missed through the sessions. Missed Opportunities - Latency is currently one of three components that make up Nasdaq Trading Insights.

THE APPROACH

At the port level, we generate daily reports at the order level and a monthly summary report. The analysis, based on matching engine times, details:

  1. The number of orders missed due to a competing execution against the target order.
  2. The number of orders missed due to a cancellation of the target order.
  3. The minimum, maximum and median time – total orders missed (monthly only)

DATA DELIVERY OPTIONS

  • SFTP download
  • Files produced Monday to Friday by 6:30 a.m. ET on a T+1 basis

OPERATIONS & SUPPORT

Analytics at Your Fingertips

Learn More About Missed Opportunities - Latency

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