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What he's saying there was that due to inefficiencies in NYSE's infrastructure, the feed that went to the consolidation (which provides the NBBO) was delayed. F

What he's saying there was that due to inefficiencies in NYSE's infrastructure, the feed that went to the consolidation (which provides the NBBO) was delayed. Firms were able to then exploit those inefficiencies by dumping a ton of quotes into the market to cause it slow down those feeds. This is called quote-stuffing and is illegal and against exchange rules. (I don't know if this was illegal then.) From a technical perspective, as orders are sent to the exchange, NYSE sends them out on a direct line to subscribers who listen to that feed. This is not private information, but it is relatively expensive, given you'd need to have servers at a colo, and pay for fast networking, boxes, software, etc. They also then aggregate that data and send them out on a feed to the NBBO which is much more accessible to the majority of traders. Obviously, it is somewhat delayed, as they need to aggregate, and a firm that can aggregate the data faster than NYSE thereby has an advantage. This aggregated data gets set out as soon as possible, and NBBO defines a time range that they need to be accurate. For what its worth, NBBO means "National Best Bid and Offer" and they will aggregate bids and offers from all exchanges and provide the best one in a single consolidated feed. Nanex determined that at certain times during high volume, Nasdaq's aggregate feed was delayed by up to 30 seconds, and this was cause by certain entities quote stuffing (which like I said earlier, is against the rules). That is all that was determined. There is nothing about trading on private information (which there is none here) or front-running (which HFT firms can't do) or any of the other nonsense that gets spewed out. If anything, other firms with good infrastructure would have been able to arb out the inefficiency and make the markets right again, quickly.

biot 11y ago
Your summary is incorrect; the 30 second delay was six years ago and was caused by selling access to real-time data vs delaying the data for the public. Quote stuffing resulted in delays of hundreds of milliseconds: > Once again, we detected sizable delays between time-stamps > in the public quote and Open Book. These delays ranged in > the hundreds of milliseconds. Though the delay magnitude was > far lower than the tens of seconds discovered during the flash > crash, it was still hundreds of times higher than expected.
- reverend_gonzo 11y ago
  Regular quote stuffing generally delayed by hundreds of milliseconds, which is a pretty bad sign regarding their infrastructure. The 30 second delay was only during the flash crash. For an aggregate feed that's not aggregating very efficiently, that would make sense, as there was an abnormally high amount of volume during the crash.
fatlasp 11y ago
I've seen a number of comments here suggesting that the data feeds are exhorbanently expensive. FWIW I'm getting the 'real-time NYSE data' (not the level two data but real time level one) for $2 / month on my tradingview membership. Not exactly breaking the bank
- chollida1 11y ago
  while that might be true, the data is only part of what you pay for. The speed and format of the data is the other, and major component of what you pay for. You are paying for what we'd call display only quotes, meaning you get these quotes so a human can visualize where the market is. If your strategies are based on trading once a day then this is fine for you. The other way in which you will be throttled is how many quotes you can view at once. If you trade options you won't be happy with only being able to view, say, 20 SPY contracts at a time as there are 1000's of contracts for sale. Ideally you'd be able to view 20 contracts per date( once a week) multiplied by 2 for both puts and calls over the next 3 months, which is 20 * 2(put and call) * 12 (3 months of 4 week contracts). This is alot of data to stream over the internet considering that those quotes probably change 200 time a second each.
  - fatlasp 11y ago
    Ya. I don't have any exposure to options currently. Really I'm barely even a swing trader more of an investor. I did notice that the price could go up substantially if you were looking for data on futures / e minis etc.
nanexllc 11y ago
"That is all that was determined." Do you work for the SEC? Because only the SEC knows what I sent them. If you do work for the SEC, then you have some explaining to do. If you don't work for the SEC, you have some explaining to do. I thought Hacker News was a place for logic and reasoning. Yet it is so easy to pick these inconsistencies out. Why do you suppose that is?

biot 11y ago

Your summary is incorrect; the 30 second delay was six years ago and was caused by selling access to real-time data vs delaying the data for the public. Quote stuffing resulted in delays of hundreds of milliseconds: > Once again, we detected sizable delays between time-stamps > in the public quote and Open Book. These delays ranged in > the hundreds of milliseconds. Though the delay magnitude was > far lower than the tens of seconds discovered during the flash > crash, it was still hundreds of times higher than expected.

reverend_gonzo 11y ago
Regular quote stuffing generally delayed by hundreds of milliseconds, which is a pretty bad sign regarding their infrastructure. The 30 second delay was only during the flash crash. For an aggregate feed that's not aggregating very efficiently, that would make sense, as there was an abnormally high amount of volume during the crash.

fatlasp 11y ago

I've seen a number of comments here suggesting that the data feeds are exhorbanently expensive. FWIW I'm getting the 'real-time NYSE data' (not the level two data but real time level one) for $2 / month on my tradingview membership. Not exactly breaking the bank

chollida1 11y ago
while that might be true, the data is only part of what you pay for. The speed and format of the data is the other, and major component of what you pay for. You are paying for what we'd call display only quotes, meaning you get these quotes so a human can visualize where the market is. If your strategies are based on trading once a day then this is fine for you. The other way in which you will be throttled is how many quotes you can view at once. If you trade options you won't be happy with only being able to view, say, 20 SPY contracts at a time as there are 1000's of contracts for sale. Ideally you'd be able to view 20 contracts per date( once a week) multiplied by 2 for both puts and calls over the next 3 months, which is 20 * 2(put and call) * 12 (3 months of 4 week contracts). This is alot of data to stream over the internet considering that those quotes probably change 200 time a second each.
- fatlasp 11y ago
  Ya. I don't have any exposure to options currently. Really I'm barely even a swing trader more of an investor. I did notice that the price could go up substantially if you were looking for data on futures / e minis etc.

nanexllc 11y ago

"That is all that was determined." Do you work for the SEC? Because only the SEC knows what I sent them. If you do work for the SEC, then you have some explaining to do. If you don't work for the SEC, you have some explaining to do. I thought Hacker News was a place for logic and reasoning. Yet it is so easy to pick these inconsistencies out. Why do you suppose that is?