Latency Transparency for Market Data
Achieving low-latency distribution of market data has become one of the most important factors that determine success in high frequency trading. No matter how fast you can execute, if your market data is delayed relative to competing traders, you will not achieve the expected fill rates.
In spite of its importance, key questions about market data latency have traditionally been hard to answer. How long does it take for market updates to reach your systems? How much capacity will you need to process every update without delay, even when the feed is busiest? What impact do the various connectivity options available have on latency?
LatencyStats.com is a new initiative from NYSE Technologies and Corvil aimed at answering these questions and more, by providing full visibility into the performance and characteristics of NYSE market data feeds. Our goal is to ensure that traders feel confident they understand the nature and quality of the data they are receiving. We believe that greater transparency into market data performance will help traders refine their deployment strategies, and their investments in equipment, bandwidth and co-location services.
Instrumented sites providing measurements for LatencyStats.com.
At launch LatencyStats.com will focus on the ArcaBook™ and OpenBook™ data feeds. These are two of the most popular feeds for NYSE equity market data. The presented performance stats are based on Corvil instrumentation installed at the SIAC data centers where the feeds are published, and at a Secure Financial Transactions Infrastructure © (SFTI©) access point where many trading clients connect to receive the feeds. The website provides a live view of current market data activity that is updated in real time, as well as historical views that will show how activity evolves over time -- and what impact this evolution has on latency.
To get the most from LatencyStats.com it will be helpful to understand the various possible causes of market data latency, and how these relate to the information presented in the site. With this in mind let’s review what happens to a feed between the point where it is published by the exchange, and the point where it is ultimately consumed by a trading client.