Hello guys, Welcome to Africa's Largest Video Search Engine, and you are watching Public Feed Speed-bump vs Direct Feeds in Nasdaq Stocks. and this video is uploaded by EricHunsader at 2016-06-07T09:35:14-07:00. We are just promoting this video only for entertainment and educational purpose only. I hop you like our Video Search Engine. [zwUDnVlX1EU]
| Name | Public Feed Speed-bump vs Direct Feeds in Nasdaq Stocks |
| Video Uploader | Video From EricHunsader |
| Upload Date | This Video Uploaded At 07-06-2016 16:35:14 |
| Video Discription | Each frame shows one day: the average Public Feed quote delay in microseconds from each reporting exchange during each second between 9:30 and 9:45 in Nasdaq listed stocks (Tape C). We compute the delay for each quote by subtracting the Direct Feed timestamp from the SIP timestamp. Spikes indicate system overload which comes from 2 sources: 1) exchange transmission to the SIP (which is located in Carteret, N.J.) and/or 2) SIP processing delays. There should be very few spikes (yet they are everywhere). If all exchanges show a spike during the same second, the delay was likely caused by slow SIP processing (overload). However, if just one or a few exchanges show a spike for a given second, but the other exchanges do not, then the delay is likely because those exchanges had trouble delivering stock quotes in a timely matter to the SIP (a violation of Reg NMS Rule 611) You may have noticed that delays from the 9 exchanges cluster into 3 groups. This is due to the location of the exchange and how fast light (info) can travel between the exchange and the Tape C SIP. The Tape C SIP is in Carteret N.J. The 2 exchanges with the highest minimal delay (clocking in around 900 microseconds), are NY-ARCA and NY-MKT, which are both located in Mahwah, which is the furthest location from the SIP. It takes light about ~500 microseconds to go between Mahwah and Carteret. The next 4 exchanges with minimal delays around ~500 microseconds are the 4 BATS exchanges: all located in Secaucus, NJ, which is about halfway between Mahwah and Carteret. It takes light about ~300 microseconds to go between Secaucus and Carteret. The last 3 exchanges are all located in Carteret - in the same facility as the SIP. Here, we expect the minimal delay to come very close to zero, yet we find a persistent ~300 microsecond delay! [zwUDnVlX1EU] |
| Category | Science & Technology |
| Tags | Nanex | Nanex Animation | UQDF | Tape C | SIP | HFT | Direct Feed | delay | NTP | timestamp | microseconds |
