1
$\begingroup$

I'm trying to better understand what information is disseminated by the SIP. In essence, if somewhere were to observe the SIP only what would he see?

$\endgroup$
1
$\begingroup$

The Consolidated Tape Association who "oversees the dissemination of real-time trade and quote information" (including the SIP) has a website with all the information https://www.ctaplan.com/index

The technical specifications of the SIP are quite clear :

https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf

https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cqs_output_spec.pdf

The three main differences between SIP and different exchange flows are :

  1. Latency

    • SIP average 470 microseconds, median 210 microseconds
    • BATS advertises 78 microseconds on average
  2. Depth of book

    • SIP only includes top-of-book for each BBO and NBBO/Finra BBO updates when needs be ("The Short National BBO Appendage is generated whenever a new quote has caused a new National Best Bid and/or Best Offer and the BBO data meets all the field restrictions.")
    • Exchanges include full book
  3. Order imbalance data leading up to the auctions which are distributed by some exchanges but not in the SIP

$\endgroup$
  • $\begingroup$ Are you saying that the information disseminated by the SIP is the same as the one available through the direct feed but just delayed? I was under the impression that the SIP does not disseminate information about the entire depth of the limit order book (e.g. it would not tell me if a new limit order has been submitted on the NASDAQ at 20 price levels away from the best price). Can you clarify? $\endgroup$ – g_puffo Dec 5 '16 at 3:36
  • $\begingroup$ Yes, the SIP only contains the NBBO. So the three differences are depth of book, speed and order imbalance data on the auctions. $\endgroup$ – Lliane Dec 5 '16 at 3:43
  • $\begingroup$ Does it disseminate only the NBBO or does it also disseminate the BBO on every trading venue? Also, does it provide the depth available at the NBBO? If so, if there is multiple exchanges quoting at the NBBO, does it aggregate the depth across those exchanges? Thanks for the feedback! $\endgroup$ – g_puffo Dec 5 '16 at 3:49
  • $\begingroup$ It disseminates the BBO of every participant, it refreshes the NBBO when it needs to : "The Short National BBO Appendage is generated whenever a new quote has caused a new National Best Bid and/or Best Offer and the BBO data meets all the field restrictions." $\endgroup$ – Lliane Dec 5 '16 at 3:56
  • $\begingroup$ I'm glad you edited your initial answer: I'm afraid it was pretty misleading in its initial form. $\endgroup$ – g_puffo Dec 5 '16 at 4:03

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.