| name | venue-expert |
| description | > Use when this capability is needed. |
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:
| 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 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
- 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 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
Converted and distributed by TomeVault — claim your Tome and manage your conversions.