Direct Feed
Market Microstructure glossary · High Frequency Dynamics & Latency Arbitrage
Definition
A proprietary low-latency market data feed sold by an exchange, faster than the SIP and used by HFTs and sophisticated routers.
Direct Feed in plain English
A direct feed is an exchange's premium, ultra-fast pipeline of price and trade information, sold to traders who want the news a hair sooner than everyone else. The free public version (the SIP) is a bit slower because it first collects and combines data from many exchanges; the direct feed skips that middle step and comes straight from the source. It's like getting a text the instant something happens versus waiting for the group announcement — and when high-speed traders compete over millionths of a second, that tiny head start is worth paying for.
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Practice Direct Feed
If the HFT firm buys at Venue B at t=1ms, who is the participant suffering the loss?
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