The Latency Difference between Depth of Book and BBO Feeds (by Michael Lehr, MayStreet)
08.15.2016MayStreet has found some interesting facts regarding the latency difference between some of the depth of book feeds and the corresponding BBO feeds. We have had an unexpected result – some of the BBO feeds are faster. Further this can be arbitrated based on the exchange timestamp. This can be used to provide lower latency data around the best feed for a particular symbol.
Please click on this link to see the full white paper
NEWSLETTER SIGN UP
And receive exclusive articles on securities markets
As Technology Evolves, Asset Managers Adapt and Innovate
https://www.marketsmedia.com/as-technology-evolves-asset-managers-adapt-and-innovate/
Citi Changes Organizational Structure
https://www.marketsmedia.com/citi-changes-organizational-structure/
SEC Charges Virtu for Disclosures Relating to Information Barriers
https://www.marketsmedia.com/sec-charges-virtu-for-disclosures-relating-to-information-barriers/
ICE Futures Singapore Partners with CoinDesk Indices
https://www.marketsmedia.com/ice-futures-singapore-partners-with-coindesk-indices/
Related articles
-
The group's first quarter net revenue increased by 6%.
-
AWS is the preferred cloud provider for LSEG's markets, risk intelligence and FTSE Russell divisions.
-
The new additions almost double the number of tradable ETFs.
-
The proposed KDX will be a fully regulated platform dedicated to tokenizing real-world assets.
-
Electronification combines the adaptability of Flex Options with scalability, transparency & convenience.