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Quantitative Finance · Glossary

What is Securities information processor and direct feed?

Also known as: securities information processor · direct feed

Definition 9.6 Markets I: The Ecosystem and Exchange-Traded Markets · Chapter 9 — US Equity Market Structure

A securities information processor (SIP) collects the best quotes and the trades of every exchange, computes the NBBO, and publishes the consolidated tape. A direct feed is the proprietary data stream sold by an exchange, carrying its full order book, from which a subscriber can compute its own consolidated view.

The same quotes, consolidated twice. The tape’s path (red) adds a delay : the trip to the processor, its computation, and the trip to the subscriber. The direct path (blue) is as fast as the subscriber’s own lines and code.
Figure 9.1. The same quotes, consolidated twice. The tape’s path (red) adds a delay δ\delta: the trip to the processor, its computation, and the trip to the subscriber. The direct path (blue) is as fast as the subscriber’s own lines and code.
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