The Latency Difference between Depth of Book and BBO Feeds (by Michael Lehr, MayStreet)


MayStreet has found some interesting facts regarding the latency difference between some of the depth of book feeds and the corresponding BBO feeds. We have had an unexpected result – some of the BBO feeds are faster. Further this can be arbitrated based on the exchange timestamp. This can be used to provide lower latency data around the best feed for a particular symbol.

Please click on this link to see the full white paper 

Related articles

  1. Trading Europe From ‘Across the Pond’

    The new futures will help customers manage sovereign debt risk in Europe.

  2. HKEX launched its first A-shares index futures contract in October 2021.

  3. Crypto derivatives need central clearing to become a major asset class.

  4. European ETFs Continue Record Growth

    Euro-denominated cryptocurrencies are the second highest traded fiat behind the U.S. dollar.

  5. Outlook 2016: Alexander Lehmann, LSEG

    The group had strong income growth across all divisions.