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.

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