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How Slow is the NBBO?
A Comparison with Direct Exchange Feeds

3 January 2014
This paper provides evidence on the benefits of proprietary data feeds from stock exchanges over the regulated “public” consolidated data feeds. We measure the amount of latency in the public data and the potential costs of using stale data. The costs stem from missing out on the best prices, which we measure by comparing the NBBO available through the public SIPs to a synthetic NBBO calculated from proprietary exchange data feeds, both measured at the same data center.

Authors: Shengwei Ding, John Hanna, Terrence Hendershott

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