Improving Speed and Transparency of Market Data

Last fall, there was much discussion around the significant investment by U.S. exchanges in data speed and transparency; consolidated market data is now faster than ever, and getting faster still. Latency of consolidated data is expected to be less than one millisecond by the middle of this year, compared with about one second just three years ago. We are increasing transparency around the speed of data, so as to improve public understanding and eliminate confusion about this often-overlooked aspect of our equities markets.

There is progress on both fronts.  But first, a bit of review for those new to the topic.

CTA, SIP, MPS…what do these acronyms mean and what do we need to know about them?  CTA is the Consolidated Tape Association, the governing body comprised of all U.S. exchanges that submit trade and quote data in securities listed on the New York Stock Exchange (this data is otherwise known as Tape A) and issues listed on NYSE Amex, NYSE Arca, and regional exchanges (otherwise known as Tape B).  The CTA oversees the collection, processing and dissemination of consolidated quote and trade data in these securities. 

How does this data get from the exchanges to the scrolling ticker that you see on TV, for example?  That’s where the SIP, or Securities Information Processor, comes in.  The SIP is the technology responsible for collecting quote and trade data from the exchanges, consolidating the data, and sending out a continuous stream of real-time best bids and offers (quotes) and last sales (trades). 

Providing access to this data is the job of the Administrators of the CTA data: NYSE for Tape A securities and NYSE Amex for Tape B securities.  The Administrators manage the process of establishing contracts with firms and investors that are interested in receiving CTA data and billing them for the data that they receive. 

How many people subscribe to CTA data?  There are various types of subscribers that receive the information- professionals, non-professionals (who can pay based on a flat monthly rate or per quote request), and investors who see data through television broadcast.  There were 383,134 professionals subscribing to  consolidated trade/quote data for NYSE-listed securities at the end of the fourth quarter. Additionally, there were nearly 2.3 million active non-professional data subscribers (each requesting more than 134 quotes per month) as well as another 583 million quotes requested from less-active non-professional subscribers and professionals. Plus, TV companies broadcast trade/quote data that has the potential to reach nearly 229 million households. 

Now onto the more exciting stuff -- the processing power (measured in MPS or messages per second) it takes in order to push out the extreme amounts of real-time quote and trade data.  The SIP is constantly investing in upgrading its technology to collect and disseminate the data as quickly as possible, even as the number of quotes is skyrocketing.  How much data are we talking about?  At the end of the fourth quarter, the SIP was processing an average of 215,162 quotes and 28,375 trades per second, or 311,295,872 quotes and 20,130,487 trades per day.  The peak quotes per second in the fourth quarter was 308,705, and peak trades per second was 28,375.  As mentioned in our previous post, it’s noteworthy that the SIP now processes the quotes and trades and sends them out in under 3 milliseconds on average.  And the SIP anticipates reaching latency levels under 1 millisecond later this year.  Here are the quote and trade rates for Tapes A and B as of the end of the fourth quarter, 2010.

Securities Information Processor Metrics

Tapes A & B

Quote Metrics

Trade Metrics

Average per Second

215,162

28,375

Peak per Second

308,705

49,570

Average per Day

311,295,872

20,130,487

Average Latency

Less than 3 milliseconds

Less than 3 milliseconds

If you’re still awake, hopefully we’ve given you a picture of consolidated data -- how it is processed, distributed, how many people receive it, and how much and how fast data is sent out.  You’ll also note that we’re well on our way to the goal of less than one millisecond of latency. 

As we stated in the previous post, we’ll continue to provide a greater transparency on performance data via the platforms of the various industry authorities including the Financial Information Forum,  the FISD(the Financial Information Services Division of the Software and Information Industry Association) and as part of the capacity planning process notices to the CTA data recipients. Our projections for message traffic are posted on our data website. Stay tuned for future updates on data latency and CTA news.