Engage 2008: NASDAQ

NASDAQ has taken the stage. They’re talking about how one of the biggest complaints traders have is trades at prices they didn’t expect or variations on unexpected outcomes from a trade.

They’re demoing an AIR application that introduces a concept called Market Replay. It lets you rewind the entire market and review what happened. They built it over a six month period. It uses flat text files that they upload daily to Amazon S3; the data is very cheap to store and they can store unlimited amounts of it.

You select a symbol and a time period, and you can download a “small” flat file that contains the requested data for a limited time period. You can then replay the market and see the trading books and watch time progress along the graph.

“Imagine being able to watch sports with instant reply; this gives you instant reply for the market.”

You can zoom down to the hundreds of quote updates that occur every minute (or even the multiple updates that occur every millisecond).

Because S3 is so cheap, we can keep all the data basically forever; competing products usually retire products after 30 days.

You can’t track individual trades with this tool, but your broker should provide you with a price that matches the prices in this tool.

You can get this–it’s available now at data.nasdaq.com. Right now, the data is one day old, but real-time is coming.

An export button is probably coming too; we had to remove it because of uncertainty regarding the output format. We want to make the data as accessible as possible; it’s public data.