> It's this later feed that is getting the exchanges into trouble as these feeds notify the user of trades before the SIP can be updated which lets firms have a 300-700 nano second peek at the market before everyone else does.
From the article:
Specifically, we found that stock quotes from the NYSE were delayed by more than 30 seconds to the public quotation feed (chart 1), relative to Open Book, which is NYSE's expensive direct feed product used mostly by High Frequency Traders (HFT).
That indicates it was quite a bit more than 300-700 nano seconds at it's worst, by a few orders of magnitude. The chart showing the delay over time in their testing period shows a delay of 200ms routinely. That's way more than a few hundred nanoseconds.
Yes, but to be clear that was a very special situation that hadn't happened before or since. They were essentially fined for not having good developers.
The NYSE has always had a reputation of being awfully inept from a technology standpoint, though they have made strides in the past few years.
That particular time was made even worse by the direct feed holding up much better that their SIP feed, though the direct feed was also slower than normal.
An accurate title might be NYSE fined for having a software bug that slowed down one feed occurred during the busiest time in the markets history.
> Yes, but to be clear that was a very special situation that hadn't happened before or since.
If by a special situation, you mean directly observable at multiple time periods. Here's what the article says:
To satisfy a curiosity of whether the NYSE public quote delay was unique to May 6, 2010, we ran another quote-by-quote comparison of time-stamps from the public quote and Open Book for a 30 minute trading period in General Electric stock (GE) on July 21, 2010 (see chart 2). We chose this period because there was a noticeable lag in the public quote from the NYSE versus quotes from other exchanges, allowing us to rule out the consolidation process as a source of the delay.
So they were able to find another time period exhibiting the same behavior as the flash crash at a later date, and it doesn't appear they had to look very hard (but there aren't a lot of details on that). Thirty seconds is a crazy amount of lag, but that was during the "special situation". That they look to have routinely had lag well into the hundreds of milliseconds is more troubling, because there's no longer a special situation to point towards as an excuse.
Umm, I think what you posted proves my point. The 30 second delay was a complete aberration. 100 millisecond delays happen all the time at every exchange.
To be fair to you I originally posted nano second when I meant millisecond. I've corrected my post.
As I've said before, I'm not at an HFT firm but we routinly see latency changes in messagesfrom all excahnges and dark pools.
Just like Google can't guarantee each query will be served in 250 milliseconds, each exchange can't guarantee every message will be delivered in nano seconds.
> To be fair to you I originally posted nano second when I meant millisecond. I've corrected my post.
Ah, that makes a big difference. :)
> As I've said before, I'm not at an HFT firm but we routinly see latency changes in messagesfrom all excahnges and dark pools.
From separate feeds to the same exchange? My understanding from the article is that that is not allowed:
A crucial sub-ruling in the regulations prohibits exchanges from giving stock quotes to special groups faster than to the public.
So as long as you're measuring from the start of the request, not the end, you shouldn't see delays in the hundreds of milliseconds to the same exchange, regardless of feed. At least that's how I understand it, but you sound like you have more practical experience, and may be able to correct where I'm misinterpreting something. Is that not how it works in real life?
The charts are not reporting what happened during the flash crash, they are for a separate, later event that they chose to see if the behavior was regular. It was, but not to the levels seen during the flash crash, as is to be expected from the cause.
This is not about a time when some technology broke under extreme load, this is about a broken system that persisted in that state for an extended period of time, and it was broken in a way that made it no longer compliant with the law.
From the article:
Specifically, we found that stock quotes from the NYSE were delayed by more than 30 seconds to the public quotation feed (chart 1), relative to Open Book, which is NYSE's expensive direct feed product used mostly by High Frequency Traders (HFT).
That indicates it was quite a bit more than 300-700 nano seconds at it's worst, by a few orders of magnitude. The chart showing the delay over time in their testing period shows a delay of 200ms routinely. That's way more than a few hundred nanoseconds.