|The trade time-stamps in
feed are not the original time-stamps shown in expensive direct feeds used by High Frequency
Traders (HFT). The time-stamps are getting replaced right before they are transmitted
to subscribers from the SIP (security information processor, which creates the consolidated
feed). This means direct feed subscribers are getting more accurate
core market data than consolidated subscribers: a direct Reg NMS violation.
The loss of original time-stamps makes it difficult to reconstruct accurate audit trails or make comparisons to quote data. It also renders any computations based on trade data (e.g. charts, technical analysis) inaccurate.
We matched a few seconds of SPY trades on June 3, 2013 from a direct feed (Edge-X) to the same trades from the consolidated feed. In the selection shown in the image on the right, the first trade (163.21 and 400 shares) has a time-stamp of 10:00:00.013 in the direct feed and a time-stamp of 10:00:00.243 in the consolidated feed, a difference of 230 milliseconds!
Download the complete list (pdf).
See this paper for more charts and data on this event.