| UQDF Clock
Poor timestamping makes it hard to find problems
| We took a look at the timestamp differences between
the 6 multicast lines that distribute
UQDF, which is the SIP for Nasdaq listed stocks.
We were surprised to see differences and time jumps of 16,000 microseconds,
especially after considering how often equity quotes last less than 100 microseconds,
and how some exchanges talk about nanosecond timestamps. Expressed in nanoseconds, UQDF's clock drifts up to 16
nanoseconds! Using nanosecond timestamps from a clock with a resolution of
about 16 milliseconds would be as ridiculous as using a car speedometer in an X-15.
There is no technical reason why UQDF timestamps have such abysmal accuracy. Poor timestamps greatly increase a regulators job in piecing together
what happened during an event, such as the recently discovered
The chart below shows the relative timestamp differences between the 6 UQDF multicast
lines for Nov 30, 2011 between 9:30 and 11:00.
Horizontal scale shows the time of day (Eastern
Vertical Scale is in milliseconds (there are 1,000 microseconds and 1 million nanoseconds in a millisecond).
Note the sudden change for lines 1, 3, 5, and 6 near the open, and also how line 4 (green) drifts and
suddenly corrects itself. This type of behavior is what you would
expect from the standard NTP protocol. We truly hope that more effort and consideration
was put into securing an accurate clock which ends up serving as a reference for billions
of dollars of financial transactions. But the evidence below says otherwise.
A close-up of the opening time period.
Publication Date: 12/01/2011
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