Venue Expert

Hierarchical microstructure knowledge base for trading venues. Primary use cases: research, debugging, and building trading systems.

Purpose

Provide deep venue-specific expertise for:

• Quants building execution models and alpha signals
• Developers implementing feed handlers and order entry
• Researchers studying market microstructure
• Debuggers diagnosing trading system issues

Hierarchy Model

Knowledge is organized in an inheritance hierarchy:

Asset Class (equity, futures, crypto, fx)
    |
    v
Geography (amer, emea, apac)
    |
    v
Exchange (nasdaq, nyse, cme, binance)

Each level inherits concepts from its parent. Exchange-level files assume familiarity with geo-level and asset-class-level concepts.

Current Coverage

Implemented paths:

• equity/ - Equity market fundamentals
• equity/amer/ - US equity market structure (Reg NMS, NBBO, SIP, TRF)
• equity/amer/nasdaq/ - Nasdaq-specific mechanics (ITCH, OUCH, crosses)
• futures/ - Futures market fundamentals
• futures/apac/ - APAC futures overview
• futures/apac/china/ - Chinese futures (CTP, 5 exchanges, regulatory)
• futures/apac/china/shfe/ - SHFE metals/energy
• futures/apac/china/dce/ - DCE ferrous/agricultural
• futures/apac/china/czce/ - CZCE agricultural/chemicals
• futures/apac/china/cffex/ - CFFEX financial futures
• futures/apac/china/ine/ - INE internationalized products

Planned paths:

• equity/amer/nyse/ - NYSE mechanics
• equity/emea/lse/ - London Stock Exchange
• futures/amer/cme/ - CME Group
• crypto/binance/ - Binance exchange

Navigation

Context Detection

Route to appropriate depth based on query specificity:

Drill-Down Behavior

Start at the most specific applicable level. Reference parent concepts without repeating them. For example, when discussing Nasdaq auctions, assume familiarity with US equity auction concepts from equity_amer.md.

Reference Organization

Each level has a references/ directory with subdirectories:

• regulatory/ - Rules, regulations, compliance guidance
• specs/ - Protocol specifications, data formats

Reference files provide deep detail on specific topics. Load them when queries require specification-level precision.

Debugging Checklist

When debugging trading system issues:

US Equity

1. Feed issues - Check sequence gaps, timestamp alignment, halt state handling
2. Auction issues - Verify order type eligibility, cutoff times, NOII parsing
3. Execution issues - Validate tick/lot compliance, fee tier, priority rules
4. Regulatory issues - Confirm trade-through protection, best execution logic

Chinese Futures (CTP)

1. Data issues - DBL_MAX validation (1.7976931348623157e+308), CZCE UpdateMillisec=0, night replay filtering
2. Session issues - TradingDay vs ActionDay semantics, 21:00 reset, trading breaks (10:15-10:30)
3. Order issues - CloseToday/CloseYesterday (SHFE/INE), cancel-replace queue loss, DCE stop orders
4. Auth issues - 看穿式监管 AppID/AuthCode, CTP version ≥6.3.15, physical machine required
5. Gap issues - CTP has NO replay; reconnection gaps are permanent data loss

File Index

Content Files

Equity:

• equity/equity.md - Equity market fundamentals
• equity/amer/equity_amer.md - US equity market structure
• equity/amer/nasdaq/nasdaq.md - Nasdaq exchange mechanics

Futures:

• futures/futures.md - Futures market fundamentals
• futures/apac/futures_apac.md - APAC futures overview
• futures/apac/china/futures_china.md - Chinese futures (main)
• futures/apac/china/shfe/shfe.md - SHFE specifics
• futures/apac/china/dce/dce.md - DCE specifics
• futures/apac/china/czce/czce.md - CZCE specifics
• futures/apac/china/cffex/cffex.md - CFFEX specifics
• futures/apac/china/ine/ine.md - INE specifics

Reference Files

US Equity References:

• equity/amer/references/regulatory/sec_reg_nms.md - Reg NMS overview
• equity/amer/references/regulatory/finra_rules.md - FINRA rules
• equity/amer/references/regulatory/rule_605_606.md - Disclosure rules
• equity/amer/references/specs/sip_specs.md - SIP specifications

Nasdaq References:

• equity/amer/nasdaq/references/specs/itch_protocol.md - ITCH 5.0 spec
• equity/amer/nasdaq/references/specs/ouch_protocol.md - OUCH 4.2/5.0 spec
• equity/amer/nasdaq/references/specs/totalview.md - TotalView product
• equity/amer/nasdaq/references/regulatory/nasdaq_rules.md - Nasdaq rulebook

Futures References:

• futures/references/spreads.md - Calendar/inter-commodity spread mechanics (CME/ICE)
• futures/references/flow_interpretation.md - Flow analysis framework (when flow signals direction)

Chinese Futures References:

• futures/apac/china/references/specs/ctp_market_data.md - CTP struct specification
• futures/apac/china/references/specs/data_quality_checklist.md - Validation checklist
• futures/apac/china/references/specs/failure_modes.md - Failure mode catalog
• futures/apac/china/references/models/queue_position.md - Queue estimation models
• futures/apac/china/references/models/trade_direction.md - Trade direction inference
• futures/apac/china/references/models/causal_analysis.md - Causal identification framework
• futures/apac/china/references/models/cross_product_analysis.md - Cross-product patterns
• futures/apac/china/references/models/spreads.md - Chinese spread execution (CTP, legging risk)
• futures/apac/china/references/regime_changes.md - Regime change database