What is the minimum time step on the NYSE and Nasdaq?

Discussion in 'App Development' started by kmiklas, Jan 16, 2017.

  1. kmiklas

    kmiklas

    I Googled all over the place, but can't find this bit of information.

    What is the smallest time increment on the NYSE and Nasdaq? In other words, what is the absolute minimum time between two price ticks, generated and stored at/by the exchange.

    The minimum tick is $0.01, at least for U.S. equities. What's the tick speed?

    I heard through the grapevine 1mcs (microsecond) ticks, or 1,000,000 price per second, but I'm looking for a credible source.

    Tyvm :^) Keith
     
  2. comagnum

    comagnum

    This info is from Oct 14, 2010. it may be a bit out of date?

    The SEC’s recent concept release on market structure states: “The average latencies of the consolidation function at plan processors (from the time the processor receives information from the SROs [trading venues] to the time it distributes consolidated information to the public) are as follows: (1) Network A and Network B –less than 5 milliseconds for quotation data and less than 10 milliseconds for trade data; and (2) Network C– 5.892 milliseconds for quotation data and 6.680 milliseconds for trade data”(U.S. Securities and Exchange Commission (2010). It bears emphasis that the latencies referred to in this passage are narrowly defined. They reflect neither the transmission delays between the trading venue and the consolidator,nor those between the consolidator and the ultimate user.

    http://people.stern.nyu.edu/jhasbrou/Research/WorkingPapers/CompNBBO02.pdf

    http://eml.berkeley.edu/~jmccrary/bartlett_mccrary2016.pdf
     
    Last edited: Jan 16, 2017
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  3. algofy

    algofy

    Lol 2010 is lightyears in the last in regard to HFT, and this is an HFT only question when u get sub ms.
     
  4. comagnum

    comagnum

    Lol 2010 is lightyears in the last in regard to HFT, and this is an HFT only question when u get sub ms.
    ____________________________________________________________________________

    The question did not say anything about sub ms - he is asking about delay between ticks. The report I found is just over 6 years old, I looked at Sec/Reg NMS from that date forward and did not see any changes made regarding this subject. Going sub millisecond is not possible as explained in the second link, it is due to the network latency - that is, unless you spend a few hundred million to clip the latency down to sub millisecond.
     
  5. Occam

    Occam

    The TotalView ITCH feed, which is Nasdaq's most expensive and comprehensive feed, sends out nanosecond timestamps -- so 1 nanosecond precision for each event in the feed. Whether or not this ultimately answers your question, I'm not sure. Accuracy and precision aren't necessarily the same thing ;).
     
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  6. kmiklas

    kmiklas

    Whoa... one nanosecond timestamps?? :wtf:

    So for every equity on the exchange, 1,000,000,000 price quotes per second are generated and logged!?

    Zomg the data storage cost is mind-boggling. Assuming that each price quote requires 2 bytes of storage, that's 2GB of data generated per second, per equity!
     
    Last edited: Jan 16, 2017
  7. Tim Smith

    Tim Smith

    Well sure, but look at the fees NASDAQ charge. :cool:

    I suspsect NASDAQ probably work on a rolling-window when it comes to fine granularity.

    Still probably nothing compared to the likes of CERN who produce 25 GB per second and store a "selected" 30 petabytes of that data per year !

    Or the NSA who are probably wasting space storing this very message ... hi guys !
     
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  8. Occam

    Occam

    Not necessarily (and in practice, never quite that much data); TotalView ITCH only sends out a message of an event occurs -- e.g., someone sends an order to the book, a halt occurs, etc.

    TotalView ITCH NASDAQ daily file archives are about 3-6 GB in size, gzip-compressed. That's for the entire NSDQ TotalView equities feed, including non-Nadsaq stocks that trade on the NSDQ exchange.
     
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  9. kmiklas

    kmiklas

    rofl! :D:D:D
    Jeez... the future looks bright for Western Digital!
     
  10. kmiklas

    kmiklas

    Anyone know the fastest available tick time for historical data?
     
    #10     Jan 16, 2017