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SIP Market Data: Coverage, Book Depth, and Auction Imbalances

Article Quant Q&A · Author: g_puffo
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Summary

The document asks what a market participant would observe from the Securities Information Processor (SIP) alone. The reply directs readers to Consolidated Tape Association materials and technical specifications for trade and quote messages, then highlights differences between consolidated SIP data and individual exchange feeds.

It describes the SIP as providing top-of-book information, including consolidated best bid and offer updates under specified conditions, while exchange feeds can include full order-book depth. It also notes that some exchanges distribute auction imbalance information that is absent from the SIP, and contrasts reported SIP latency figures with an exchange's advertised latency. These figures are attributed to the cited answer and exchange advertising; the document does not establish that they apply universally or remain current.

Key ideas

  • SIP specifications describe the trade and quote information disseminated through consolidated feeds.
  • The SIP provides top-of-book information, while exchange feeds may include full book depth.
  • Some exchange auction imbalance data is not disseminated through the SIP.
  • The cited latency comparison is specific to the figures reported in the document.

Tags

EquitiesMarket microstructureExecution
Full text
# Information disseminated by the Securities Information Processor (SIP)


# Information disseminated by the Securities Information Processor (SIP)












I'm trying to better understand what information is disseminated by the SIP. In essence, if somewhere were to observe the SIP only what would he see?

## Answer by Lliane (score 1)

https://quant.stackexchange.com/a/31329

The Consolidated Tape Association who "oversees the dissemination of real-time trade and quote information" (including the SIP) has a website with all the information https://www.ctaplan.com/index

The technical specifications of the SIP are quite clear :

https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf

https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cqs_output_spec.pdf

The three main differences between SIP and different exchange flows are :

- Latency SIP average 470 microseconds, median 210 microseconds BATS advertises 78 microseconds on average

- Depth of book SIP only includes top-of-book for each BBO and NBBO/Finra BBO updates when needs be ("The Short National BBO Appendage is generated whenever a new quote has caused a new National Best Bid and/or Best Offer and the BBO data meets all the field restrictions.") Exchanges include full book

- Order imbalance data leading up to the auctions which are distributed by some exchanges but not in the SIP

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.