NYSE Euronext and Corvil on Thursday unveiled an online system allowing exchanges and companies that deliver market data to traders to compare the speed at which they receive data in a standardised way.
The move aims to bring more transparency to the measurement of data speed – an aspect of “latency” – in “high-frequency” trading.
The move by NYSE Euronext and Corvil, a Dublin-based latency measurement specialist, involves the creation of a website that tracks the speed at which traders are updated with market prices. Until recently most of the focus in latency has been on measuring how fast trades are executed.
Donal Byrne, Corvil chief executive, said data was just as important: “A lot of the focus in the marketplace has been ‘how fast can I execute?’. But in truth you could be as fast as you want there but still be late with your price update and never be the fastest in this space.”
Traders usually know how fast data travels within their own systems, but often not from the point at which an exchange publishes data to the point at which the client takes the data feed. “To date people have not presented the full picture on latency,” Mr Byrne told FT Trading Room.
The website – www.latencystats.com – is a free tool allowing market data publishers and users to compare latency performance “on a like-for-like basis” as verified by Corvil.
Mark Schaedel, senior vice president, global data products, NYSE Technologies, said: “We think there is a tremendous misunderstanding out there about what latency actually is. What we’re trying to establish is a different type of dialogue around what it means. We think it’s a good time to provide the right context.”
The two companies said it was “the first online resource to provide full transparency regarding latency performance with real-time snapshots of key performance statistics and clear methodologies used for collecting and calculating the statistics”.
The new website will launch with the US high-frequency feeds of NYSE ArcaBook and NYSE OpenBook, which show respectively all the limit orders that sit at NYSE Arca and the New York Stock Exchange waiting to be traded.
It will later be expanded to include additional NYSE Euronext US and European markets, plus a range of feeds available on the NYSE Technologies SuperFeed platform.
Mr Schaedel said the site was open to other exchanges and talks had taken place with rivals about them joining. “We’d like to invite other platforms to participate. It’s not a competitive thing as much as it is allowing customers to make informed comparisons,” he said.
As part of an ongoing review of market structures by US regulators – which has intensified since the “flash crash” of May 6 – the Commodity Futures Trading Commission recently proposed a “latency transparency” provision that would “ensure that general information concerning the longest, shortest, and average latencies for all connectivity options are separately detailed and readily available to the public on regulated trading markets’ websites”.
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