https://www.law.berkeley.edu/wp-content/uploads/2019/10/bartlett_mccrary_latency2017.pdf Abstract: We examine the incidence of “SIP latency arbitrage”strategies using new timestamp data from the two Securities Information Processors (SIPs). On average, the SIPs report quote updates fromstock exchanges 1.13 milliseconds after they occur. However, liquidity-taking orders gain on average $0.0002 per share when priced at the SIP-reported national best bid or offer (NBBO) rather than the NBBO calculated using exchanges’ direct data feeds. Trading surrounding SIP-priced trades shows little evidence that fast traders initiate these liquidity-taking orders to pick-off stale quotes. These findings contradict widespread claims that fast traders systematically exploit traders who transact at the SIP NBBO. "widespread claims" ... thoughts?
simply stop reading such news, stop doing high frequency trading and do low frequency trading, and just focus on the charts You can't earn money when there is so much thing to worry about.
lmao, why don't I go read the tea leaves or burn out visual cortex and waste all the glutamate in my head?
Your choice mister. You can ignore my comment, read tea leaves to burn out visual cortex, read thousands of SIP reports, or just read charts.
Anyone who is latency-sensitive should consider buying the exchange(s) private feeds. Pricey, but it's a big part of what gives HFT firms their latency edge. CBOE current has a proposal to establish more SIP connects and improving the tech to cut latency.
how rigged are the stock markets? the big 5 do not rig markets. you can arrest somebody for doing something...….you cannot arrest them for not doing something. but since the big 5 account for 80% or more of all trading, simply by not doing something, they can send the market in any direction they desire. by not buying they can send the market down. by not selling they can send the market up. no the markets are not rigged. how can you say someone is doing something...... when they are not doing anything
do these guys pay brokerage or are they brokers? I am a short term scalper and my cost of trading [brokerage] is sometimes more than 30% of my profits. it [brokerage] must be 80% of the HFT profits.....my estimation
DATA, EQUITIES, TRADING VENUES January 22, 2020 12:40 PM GMT Cboe looks to further reduce SIP latency with reform plans Cboe Global Markets wants to implement the data feeds in multiple locations in a bid to reduce SIP latency, as debate on equities market data continues in the US. By Hayley McDowellExchange operator Cboe Global Markets is looking to further reduce latency of key data for US equities market participants, by implementing Securities Information Processor (SIPs) across multiple locations. The SIPs are produced by incumbent exchange groups and provide real-time equities data, including ‘top of book’ quotes for stocks consisting of each exchange’s best bid price. Cboe acknowledged in a recent publication on proposed reforms to market structure that technological advances had dramatically reduced SIP latency from several hundred microseconds to tens of microseconds to process quotes and trades. SIP latency today, however, is caused mainly by geographical latency due to the inbound distance from a market’s location to the SIP processor location, with additional latency incurred from the distance outbound data trade and quote data travels to reach market participants. “SIP architecture today requires a single consolidation point for quotes and trades, adding geographic latency between exchange origination and subscriber receipt that in many instances exceeds latency of the processor by more than an order of magnitude,” said Cboe. “Cboe strongly supports the implementation of distributed SIPs, designed to introduce multiple instances of SIP consolidation in strategic data centre locations, which will contribute to a major reduction in geographic latency. All SIP subscribers would be offered a choice of locations from which to receive the SIP market information and to achieve the fastest data delivery.” SIP data has been the subject of debate in recent years, as it provides key information on the national best bid and offer (NBBO) for National Market System (NMS) stocks. Banks, broker-dealers and trading firms have said that while SIP data is useful and necessary, market participants are compelled to purchase proprietary and direct data feeds from exchanges, which are considered grossly overpriced considering how little they allegedly cost to produce and how important they are in terms of regulatory compliance. “If a broker is routing using just SIP data they are not routing my flow,” Mehmet Kinak, a 19-year T. Rowe Price veteran who heads up global systematic trading and market structure for the asset manager, has said on the subject. “They are not eligible to get my flow, it’s not negotiable. Trading is a zero-sum game and if I’m slower than the other person I lose – that’s it. And this is a best execution obligation, we are obligated to try and price best execution with every order that we have.” Cboe’s market structure reforms publication was published shortly after the US Securities and Exchange Commission (SEC) proposed to modernise the governance of NMS plans, which produce the public consolidated tape and disseminate trade and data from the trading venues. Under the current regime, incumbent exchanges, such as Cboe, Nasdaq and the New York Stock Exchange, have total control and voting power over how the consolidated tape is produced and disseminated. Although under the SEC’s proposal, broker-dealers and investment firms would gain voting rights, subsequently limiting the control of incumbent exchange operators.
yes we should do slow trades like warren buffett, oh wait we can't get his 10% preferred deals that he gets by making phone calls.