UQDF Clock Drift Poor timestamping makes it hard to find problems Back to Main Research Page We took a look at the timestamp differences between the 6 multicast lines that distribute UQDF, which is the SIP for Nasdaq listed stocks. We were surprised to see differences and time jumps of 16,000 microseconds, especially after considering how often equity quotes last less than 100 microseconds, and how some exchanges talk about nanosecond timestamps. Expressed in nanoseconds, UQDF's clock drifts up to 16 million nanoseconds! Using nanosecond timestamps from a clock with a resolution of about 16 milliseconds would be as ridiculous as using a car speedometer in an X-15. There is no technical reason why UQDF timestamps have such abysmal accuracy. Poor timestamps greatly increase a regulators job in piecing together what happened during an event, such as the recently discovered 15:50:00 event. The chart below shows the relative timestamp differences between the 6 UQDF multicast lines for Nov 30, 2011 between 9:30 and 11:00. Horizontal scale shows the time of day (Eastern Standard Time). Vertical Scale is in milliseconds (there are 1,000 microseconds and 1 million nanoseconds in a millisecond). Note the sudden change for lines 1, 3, 5, and 6 near the open, and also how line 4 (green) drifts and suddenly corrects itself. This type of behavior is what you would expect from the standard NTP protocol. We truly hope that more effort and consideration was put into securing an accurate clock which ends up serving as a reference for billions of dollars of financial transactions. But the evidence below says otherwise. A close-up of the opening time period. Inquiries: pr@nanex.net Publication Date: 12/01/2011 http://www.nanex.net This report and all material shown on this website is published by Nanex, LLC and may not be reproduced, disseminated, or distributed, in part or in whole, by any means, outside of the recipient's organization without express written authorization from Nanex. It is a violation of federal copyright law to reproduce all or part of this publication or its contents by any means. This material does not constitute a solicitation for the purchase or sale of any securities or investments. The opinions expressed herein are based on publicly available information and are considered reliable. However, Nanex makes NO WARRANTIES OR REPRESENTATIONS OF ANY SORT with respect to this report. Any person using this material does so solely at their own risk and Nanex and/or its employees shall be under no liability whatsoever in any respect thereof.