Low Latency Trading Insights

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Low Latency Trading Insights
Low Latency Trading Insights
NSE Tip: Convert OrderID The Trivial Way is WRONG
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NSE Tip: Convert OrderID The Trivial Way is WRONG

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Henrique Bucher's avatar
Henrique Bucher
Mar 17, 2024
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The Indian National Stock Exchange is truly a case to study. It has some idiosyncrasies that make it unique across all exchanges in the world:

  1. It is the only exchange from a handful I know that implements fully cryptographic concealment of the order flow from and to the exchange’s servers.

  2. It uses a commercial solution (Solace) for market data retransmission.

  3. The specs are locked down and marked confidential.

  4. Metadata regarding contracts is provided only for paid clients.

  5. It sends both the buy order ID and the sell order ID in a trade report.

But the most unique feature I’ve found is that it sends the order identifiers, typically a 64-bit unsigned integer or a string in all exchanges I know, as an IEEE-754 double!

It seems simple enough but converting that double into an order ID can cost you a precious amount of time if done the trivial way.

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