Hi,

In looking at the details of v5 of the IQFeed client, it now supports millisecond timestamps, as well as the market center for tick data.

I was also reading "Bulk classification of Trading Activity" available here:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1989555

It states in part:

"In equities, for example, there are now 13 exchanges (and a variety of
trade reporting facilities (TRFs)) sending data to the consolidated tape. The tape
marks trade and quote times when it receives the data, but this will be different from
the actual trade or quote time depending on the latency of the venue’s reporting
technology. Moreover, the aggregate tape is then a blend of all of these reports,
delivered at various latencies.

Most professional traders now purchase direct feeds of data from the individual venues rather than rely on the much slower, and arguably less accurate, tape data."


Which leads me to the question of which timestamps we are getting. Is IQFeed getting direct feeds from individual venues, or are you using the aggregate tape?

Thanks very much,
-Bob

Bob, IQFeed delivers the consolidated tape.

Thanks.

Are you aware of any data on what the latencies of the various venues might be?

I realize I am rapidly heading down a rabbit hole. I followed up on a footnote in the previous quote and found the paper "The Breakdown of Standard Microstructure Techniques And What to Do About It"

Link: http://www.kelley.iu.edu/cholden/Breakdown2011.pdf

Which has this priceless quote: "Looking to the future, we consider what happens when the trading process accelerates into microseconds in the 2010’s and into nanoseconds in the 2020’s. We find that
the speed of light barrier causes a breakdown of the Newtonian concept of a single, absolute NBBO for
all economic agents in all locations. As a replacement, we propose an Einsteinian concept of a Relative
Best Bid and Offer (RBBO) that is different for each market center."

Can't wait...

Unfortunately I am not aware of any research (or the data from that research) that details latencies between exchanges.

Hmm.

Actually venues, especially dark pools, have 90 seconds to report trades.

Note to self: for intraday, trade futures.

Although just so it has been said, if you guys decided to get direct feeds from some of the larger venues, equity traders would probably find that of value.