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 fundamentalsequity/amer/ - US equity market structure (Reg NMS, NBBO, SIP, TRF)equity/amer/nasdaq/ - Nasdaq-specific mechanics (ITCH, OUCH, crosses)futures/ - Futures market fundamentalsfutures/apac/ - APAC futures overviewfutures/apac/china/ - Chinese futures (CTP, 5 exchanges, regulatory)futures/apac/china/shfe/ - SHFE metals/energyfutures/apac/china/dce/ - DCE ferrous/agriculturalfutures/apac/china/czce/ - CZCE agricultural/chemicalsfutures/apac/china/cffex/ - CFFEX financial futuresfutures/apac/china/ine/ - INE internationalized products
Planned paths:
equity/amer/nyse/ - NYSE mechanicsequity/emea/lse/ - London Stock Exchangefutures/amer/cme/ - CME Groupcrypto/binance/ - Binance exchange
Navigation
Context Detection
Route to appropriate depth based on query specificity:
| Query Pattern |
Target File |
| Generic equity concepts |
equity/equity.md |
| US market structure, Reg NMS, NBBO |
equity/amer/equity_amer.md |
| Nasdaq-specific (ITCH, NOII, crosses) |
equity/amer/nasdaq/nasdaq.md |
| Generic futures concepts |
futures/futures.md |
| APAC futures overview |
futures/apac/futures_apac.md |
| Chinese futures, CTP, 夜盘 |
futures/apac/china/futures_china.md |
| SHFE-specific (metals, CloseToday) |
futures/apac/china/shfe/shfe.md |
| DCE-specific (iron ore, stop orders) |
futures/apac/china/dce/dce.md |
| CZCE-specific (3-digit years, UpdateMillisec=0) |
futures/apac/china/czce/czce.md |
| CFFEX-specific (index futures, restrictions) |
futures/apac/china/cffex/cffex.md |
| INE-specific (crude oil, foreign access) |
futures/apac/china/ine/ine.md |
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 guidancespecs/ - 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
- Feed issues - Check sequence gaps, timestamp alignment, halt state handling
- Auction issues - Verify order type eligibility, cutoff times, NOII parsing
- Execution issues - Validate tick/lot compliance, fee tier, priority rules
- Regulatory issues - Confirm trade-through protection, best execution logic
Chinese Futures (CTP)
- Data issues - DBL_MAX validation (1.7976931348623157e+308), CZCE UpdateMillisec=0, night replay filtering
- Session issues - TradingDay vs ActionDay semantics, 21:00 reset, trading breaks (10:15-10:30)
- Order issues - CloseToday/CloseYesterday (SHFE/INE), cancel-replace queue loss, DCE stop orders
- Auth issues - 看穿式监管 AppID/AuthCode, CTP version ≥6.3.15, physical machine required
- Gap issues - CTP has NO replay; reconnection gaps are permanent data loss
File Index
Content Files
Equity:
equity/equity.md - Equity market fundamentalsequity/amer/equity_amer.md - US equity market structureequity/amer/nasdaq/nasdaq.md - Nasdaq exchange mechanics
Futures:
futures/futures.md - Futures market fundamentalsfutures/apac/futures_apac.md - APAC futures overviewfutures/apac/china/futures_china.md - Chinese futures (main)futures/apac/china/shfe/shfe.md - SHFE specificsfutures/apac/china/dce/dce.md - DCE specificsfutures/apac/china/czce/czce.md - CZCE specificsfutures/apac/china/cffex/cffex.md - CFFEX specificsfutures/apac/china/ine/ine.md - INE specifics
Reference Files
US Equity References:
equity/amer/references/regulatory/sec_reg_nms.md - Reg NMS overviewequity/amer/references/regulatory/finra_rules.md - FINRA rulesequity/amer/references/regulatory/rule_605_606.md - Disclosure rulesequity/amer/references/specs/sip_specs.md - SIP specifications
Nasdaq References:
equity/amer/nasdaq/references/specs/itch_protocol.md - ITCH 5.0 specequity/amer/nasdaq/references/specs/ouch_protocol.md - OUCH 4.2/5.0 specequity/amer/nasdaq/references/specs/totalview.md - TotalView productequity/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 specificationfutures/apac/china/references/specs/data_quality_checklist.md - Validation checklistfutures/apac/china/references/specs/failure_modes.md - Failure mode catalogfutures/apac/china/references/models/queue_position.md - Queue estimation modelsfutures/apac/china/references/models/trade_direction.md - Trade direction inferencefutures/apac/china/references/models/causal_analysis.md - Causal identification frameworkfutures/apac/china/references/models/cross_product_analysis.md - Cross-product patternsfutures/apac/china/references/models/spreads.md - Chinese spread execution (CTP, legging risk)futures/apac/china/references/regime_changes.md - Regime change database
1---2name: venue-expert3description: This skill should be used when the user asks about "market microstructure", "exchange mechanics", "order book", "auction", "NBBO", "Reg NMS", "trading venue", "halt", "LULD", "tick size", "maker-taker", "price-time priority", "SIP", "direct feed", "TRF", "wholesaler", "PFOF", "best execution", "trade-through", "ISO", "opening cross", "closing cross", "NOII", "ITCH", "OUCH", or mentions specific exchanges (Nasdaq, NYSE, CME, Binance, SHFE, DCE, CZCE, CFFEX, INE, etc.). For Chinese futures: "CTP", "综合交易平台", "夜盘", "night session", "看穿式监管", "position limits", "持仓限额", queue position in Chinese markets, or Chinese product codes (rb, cu, sc, if, ic, i, j, ta, ma, etc.). Provides hierarchical venue expertise for research and debugging trading systems.4---56# Venue Expert78Hierarchical microstructure knowledge base for trading venues. Primary use cases: research, debugging, and building trading systems.910## Purpose1112Provide deep venue-specific expertise for:13- Quants building execution models and alpha signals14- Developers implementing feed handlers and order entry15- Researchers studying market microstructure16- Debuggers diagnosing trading system issues1718## Hierarchy Model1920Knowledge is organized in an inheritance hierarchy:2122```23Asset Class (equity, futures, crypto, fx)24 |25 v26Geography (amer, emea, apac)27 |28 v29Exchange (nasdaq, nyse, cme, binance)30```3132Each level inherits concepts from its parent. Exchange-level files assume familiarity with geo-level and asset-class-level concepts.3334## Current Coverage3536**Implemented paths:**37- `equity/` - Equity market fundamentals38- `equity/amer/` - US equity market structure (Reg NMS, NBBO, SIP, TRF)39- `equity/amer/nasdaq/` - Nasdaq-specific mechanics (ITCH, OUCH, crosses)40- `futures/` - Futures market fundamentals41- `futures/apac/` - APAC futures overview42- `futures/apac/china/` - Chinese futures (CTP, 5 exchanges, regulatory)43- `futures/apac/china/shfe/` - SHFE metals/energy44- `futures/apac/china/dce/` - DCE ferrous/agricultural45- `futures/apac/china/czce/` - CZCE agricultural/chemicals46- `futures/apac/china/cffex/` - CFFEX financial futures47- `futures/apac/china/ine/` - INE internationalized products4849**Planned paths:**50- `equity/amer/nyse/` - NYSE mechanics51- `equity/emea/lse/` - London Stock Exchange52- `futures/amer/cme/` - CME Group53- `crypto/binance/` - Binance exchange5455## Navigation5657### Context Detection5859Route to appropriate depth based on query specificity:6061| Query Pattern | Target File |62|---------------|-------------|63| Generic equity concepts | `equity/equity.md` |64| US market structure, Reg NMS, NBBO | `equity/amer/equity_amer.md` |65| Nasdaq-specific (ITCH, NOII, crosses) | `equity/amer/nasdaq/nasdaq.md` |66| Generic futures concepts | `futures/futures.md` |67| APAC futures overview | `futures/apac/futures_apac.md` |68| Chinese futures, CTP, 夜盘 | `futures/apac/china/futures_china.md` |69| SHFE-specific (metals, CloseToday) | `futures/apac/china/shfe/shfe.md` |70| DCE-specific (iron ore, stop orders) | `futures/apac/china/dce/dce.md` |71| CZCE-specific (3-digit years, UpdateMillisec=0) | `futures/apac/china/czce/czce.md` |72| CFFEX-specific (index futures, restrictions) | `futures/apac/china/cffex/cffex.md` |73| INE-specific (crude oil, foreign access) | `futures/apac/china/ine/ine.md` |7475### Drill-Down Behavior7677Start 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`.7879## Reference Organization8081Each level has a `references/` directory with subdirectories:8283- `regulatory/` - Rules, regulations, compliance guidance84- `specs/` - Protocol specifications, data formats8586Reference files provide deep detail on specific topics. Load them when queries require specification-level precision.8788## Debugging Checklist8990When debugging trading system issues:9192### US Equity931. **Feed issues** - Check sequence gaps, timestamp alignment, halt state handling942. **Auction issues** - Verify order type eligibility, cutoff times, NOII parsing953. **Execution issues** - Validate tick/lot compliance, fee tier, priority rules964. **Regulatory issues** - Confirm trade-through protection, best execution logic9798### Chinese Futures (CTP)991. **Data issues** - DBL_MAX validation (1.7976931348623157e+308), CZCE UpdateMillisec=0, night replay filtering1002. **Session issues** - TradingDay vs ActionDay semantics, 21:00 reset, trading breaks (10:15-10:30)1013. **Order issues** - CloseToday/CloseYesterday (SHFE/INE), cancel-replace queue loss, DCE stop orders1024. **Auth issues** - 看穿式监管 AppID/AuthCode, CTP version ≥6.3.15, physical machine required1035. **Gap issues** - CTP has NO replay; reconnection gaps are permanent data loss104105## File Index106107### Content Files108109**Equity:**110- `equity/equity.md` - Equity market fundamentals111- `equity/amer/equity_amer.md` - US equity market structure112- `equity/amer/nasdaq/nasdaq.md` - Nasdaq exchange mechanics113114**Futures:**115- `futures/futures.md` - Futures market fundamentals116- `futures/apac/futures_apac.md` - APAC futures overview117- `futures/apac/china/futures_china.md` - Chinese futures (main)118- `futures/apac/china/shfe/shfe.md` - SHFE specifics119- `futures/apac/china/dce/dce.md` - DCE specifics120- `futures/apac/china/czce/czce.md` - CZCE specifics121- `futures/apac/china/cffex/cffex.md` - CFFEX specifics122- `futures/apac/china/ine/ine.md` - INE specifics123124### Reference Files125126**US Equity References:**127- `equity/amer/references/regulatory/sec_reg_nms.md` - Reg NMS overview128- `equity/amer/references/regulatory/finra_rules.md` - FINRA rules129- `equity/amer/references/regulatory/rule_605_606.md` - Disclosure rules130- `equity/amer/references/specs/sip_specs.md` - SIP specifications131132**Nasdaq References:**133- `equity/amer/nasdaq/references/specs/itch_protocol.md` - ITCH 5.0 spec134- `equity/amer/nasdaq/references/specs/ouch_protocol.md` - OUCH 4.2/5.0 spec135- `equity/amer/nasdaq/references/specs/totalview.md` - TotalView product136- `equity/amer/nasdaq/references/regulatory/nasdaq_rules.md` - Nasdaq rulebook137138**Futures References:**139- `futures/references/spreads.md` - Calendar/inter-commodity spread mechanics (CME/ICE)140- `futures/references/flow_interpretation.md` - Flow analysis framework (when flow signals direction)141142**Chinese Futures References:**143- `futures/apac/china/references/specs/ctp_market_data.md` - CTP struct specification144- `futures/apac/china/references/specs/data_quality_checklist.md` - Validation checklist145- `futures/apac/china/references/specs/failure_modes.md` - Failure mode catalog146- `futures/apac/china/references/models/queue_position.md` - Queue estimation models147- `futures/apac/china/references/models/trade_direction.md` - Trade direction inference148- `futures/apac/china/references/models/causal_analysis.md` - Causal identification framework149- `futures/apac/china/references/models/cross_product_analysis.md` - Cross-product patterns150- `futures/apac/china/references/models/spreads.md` - Chinese spread execution (CTP, legging risk)151- `futures/apac/china/references/regime_changes.md` - Regime change database
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