Nanex Research

Nanex ~ 20-Sep-2012 ~ TotalView vs Consolidated Feed

27-Sep-2012: Chart 1 was featured on CNBC.

In Facebook at 13:50:01 on May 18, 2012, when we compare Nasdaq's quote sent to the direct feed (TotalView) with the same quote sent to the Consolidated Feed (UQDF) we find a difference, or delay, of at least 120 milliseconds. That is, quotes sent to the direct feed appeared 120 milliseconds before the same quotes appeared in the consolidated feed. Comparing quotes and trades from other exchanges allows us to rule out the consolidated feed causing this delay. In other words, the delay must have occurred sometime before it reached the consolidated feed processors. Last week, the SEC fined the NYSE for sending a quote faster to their direct feed than the consolidated feed.

Here, are a few more examples of quotes, appearing before trades.

The first 2 charts compare the Nasdaq Quote from TotalView (Red) and the consolidated feed (gray). All charts show data at 1-millisecond intervals over 1/2 second of time.

1. Nasdaq Quote spread from TotalView (red) and the Consolidated Feed (gray).
The offset of the gray shading to the right of the red shading represents the amount of delay.

2. Same as chart 1, but includes trade executions. Data from Totalview is red, data from Consolidated feed is black/gray.
Note how trade executions line up with the direct feed, but appear ahead of the consolidated quote.

Click through the stack of 9 charts which compare quotes from Nasdaq with the other exchanges in the consolidated feed. You can see Nasdaq's quote is delayed relative to the other exchanges, which tells us the delay in Nasdaq's quote occurred before it got to the consolidated feed.

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