I have a question for those people that understand the nuts and bolts of market data streams. For reference, I'm using a Zen Fire feed and the main instruments I trade are the CME FX futures. When the price or volume at the top of the book changes then this is obviously reflected in both the L1 and L2 data streams. However, I am sometimes seeing situations where these get wildly out of synch. For instance, a data message indicating a change of volume on the ask might sometimes arrive more than a second later on the L2 data stream than the L1 data stream. Now, I would expect that in fast markets if there's any lag then it should occur equally on both data streams but apparently not. There's only one event occurring at the exchange to generate both these messages (the act of the posted volume being changed), so you'd assume the exchange's data feed technology would generate both the L1 and L2 messages at exactly the same time. Has anyone else noticed this, and if so, do you have any ideas as to why it might be occurring? I'm sure it's something obvious that I've missed. Many thanks in advance for your thoughts... P.S. I've posted this in the 'automated trading' forum as I'm assuming that it's only going to be algo traders such as ourselves who are going to be concerned by such things.