摘要：Both the scientific community and the popular press have paid much attention to the speedof the Securities Information Processor—the data feed consolidating all trades and quotes acrossthe US stock market. Rather than the speed of the Securities Information Processor (SIP), we focushere on its accuracy. Relying on Trade and Quote data, we provide various measures of SIP latencyrelative to high-speed data feeds between exchanges, known as direct feeds. We use first differencesto highlight not only the divergence between the direct feeds and the SIP, but also the fundamentalinaccuracy of the SIP. We find that as many as 60% or more of trades are reported out of sequence forstocks with high trade volume, therefore skewing simple measures, such as returns. While not yetdefinitive, this analysis supports our preliminary conclusion that the underlying infrastructure of theSIP is currently unable to keep pace with the trading activity in today’s stock market.
