The retail investor gets the slowed down price (the NBBO is really what the internalizer/wholesaler saw from the SIP when they executed your order). That same internalizer buys/sells from the faster feed. Whenever the two feeds are out of sync, it's like printing money.
"The price for getting a direct line is not unreasonable?" I just laughed out loud reading that. Is $60,000/month for just one exchange (there are a dozen), reasonable? Then you need network engineers, infrastructure, etc. It used to be nowhere near this expensive for "real-time" data. Orders of magnitude less.
What would be your proposal for a solution to a sync'd feeds obvious distributed systems problems?
How much latency would be acceptable for a fully consistent, high throughput distributed log of events, that when it becomes unavailable the entirety of US trading shuts down and if it ever gets out of order can cause gigantic lawsuits?
How would you change the obvious organizational disincentives as well? Given that maintenance of the SIP is full cost, no profit operation for the exchanges?
Finally, don't take this as a criticism of your whistle blowing, I think that is critical to a functioning market, I am curious to know how you would solve the obvious technical challenges the consolidated feed faces?
You are making straw man arguments. While I'm happy to discuss what the SIP should be in an ideal world, the topic at hand is what is current law. For those that don't know, it's Reg NMS (google it).
Actually, I was asking how you would design an ideal SIP. I have no opinions on the current law, but find the technical challenges of the SIP terribly interesting.
The SIP isn't currently required to be consistent in the CAP sense of "consistent", but that is something people complain about. I think rightly, they point that the audit/compliance components of RegNMS are very troubling in the face of N inconsistent SIPs.
Similarly, people complain about the SIP feeds being latent and I'm sure it would be a very real problem if any single exchange being unavailable made the entirety of the SIP unavailable.
Its a fascinating problem because the engineering trade-offs are relatively static and well known, but each and every decision you could make provides an opportunity for arbitrage market activity that someone would consider predatory.
That we've layered a regulatory requirement that is pretty vague on some of the edge cases on top of this, just adds to it.
Please point to the exact paragraph in Reg NMS that backs up your story. To those reading, don't waste your time awaiting an answer because there is no such paragraph in Reg NMS.
The Regulations (Reg NMS) are very clear about this. That's why I was awarded $750K from the government after all.
I'm not sure what story you want me to back up is? If you are claiming that the current law requires the SIP to be consistent in the CAP sense, I'll defer to you and ask that you point out why you think so?
If you are asking about evidence that some people have claimed that the SIP being non-consistent is a problem for audit and regulatory compliance, is that not what you yourself are arguing in this post? http://www.nanex.net/Research/IsNBBOIgnored.html
I think maybe you are reading into my comment something that isn't there?
The retail investor gets the slowed down price (the NBBO is really what the internalizer/wholesaler saw from the SIP when they executed your order). That same internalizer buys/sells from the faster feed. Whenever the two feeds are out of sync, it's like printing money.
"The price for getting a direct line is not unreasonable?" I just laughed out loud reading that. Is $60,000/month for just one exchange (there are a dozen), reasonable? Then you need network engineers, infrastructure, etc. It used to be nowhere near this expensive for "real-time" data. Orders of magnitude less.