SEC slams NYSE for sending market data to proprietary customer feeds before the one for the wider public (“the disparities ranged from single-digit milliseconds to, on occasion, multiple seconds”).
And it does a diagram.
This is a pretty big intervention into the world of exchange data feeds, which are grist to the mill of algorithmic trading.
Full order against the NYSE – which will pay a $5m fine as part of its settlement, the first by an exchange to the SEC – here. It seems to have jumped on to the regulator’s radar after the Flash Crash…
The magnitude of the disparities became pronounced after the beginning of the May 6, 2010, market event that became known as the “Flash Crash.” By that day, NYSE had fixed the software issue in the path to the Network Processor in approximately half of the relevant computer servers but, under the stress of sustained record-breaking order and trade volumes, servers still running the old software experienced substantial delays transmitting trade reports and quotes in the approximately 1,665 securities they processed. During the two five-minute periods between 2:40 p.m. to 2:50 p.m., these servers processed over 4.8 million quotes. The average delays for those quotes during those two periods were approximately 3.7 and 5.3 seconds, respectively. In contrast, the average processing times for the two proprietary feeds were under 2 milliseconds and under 16 milliseconds, respectively.
The most significant quote delays occurred from 2:43:15 p.m. through 2:46:59 p.m. During each 15-second interval in this time period, the average delays on the affected MDD servers exceeded 4.6 seconds and, in seven of those intervals, exceeded ten seconds. During this period, these MDD servers processed approximately 2 million quotes, of which approximately 1.65 million (81%) had delays exceeding one second. In four of these 15-second periods, every quote was delayed by more than one second.