CQS has had issues in the past. You should know this.
More importantly, why wouldn't you invest in colocations and collect the data yourself using direct feeds (with GPS clock synchronization etc to validate the data)?
We do. You are grossly misinformed. The charts correctly show the sequence and times of this event. I'm not going to engage this discussion further, though pmail is fine.
As a bystander who does not have the background necessary to evaluate either of your claims at face value, I would really like to hear your explanation for why you disagree with his explanation.
A simple analogy: you are an advertiser using Facebook. You tell them you want to get 1000 impressions, and facebook gives you a report at the end of the day saying that they gave the number of impressions you paid for.
So you look at yesterday's view count and today's view count and notice that somehow the view count only increased by 900. Something is afoot!
Nanex's argument is tantamount to saying "that means we must have lost 100 organic views today"
My argument is tantamount to saying "I actually bothered to look at our access logs (which we record on our servers) and only saw 900 that we could definitively attribute to real Facebook users. Is it possible that the report is incorrect or falsified?"
Back to the current situation. There are many sources of market data. Each individual exchange generates its own feed, and with the major exchanges (NYSE, NASDAQ, BATS, DirectEDGE, ...) you can colocate in the exchange data centers (NYSE and ARCA are in Mahwah NJ, NASDAQ is in Carteret NJ, and various other exchanges are located in New Jersey and Chicago) and record the data yourself. There is a unified tape (CQS/CTS) which combines and disseminates a combined record (across all exchanges). This is used to determine the "national best bid/offer" -- the prices people are willing to buy/sell at.
The process of CQS generation is fraught with problems, but lots of older traders and academic types use CQS data because its much cheaper to get that data than to get data from individual exchanges directly. However, you are subject to the quirks of the combination process, including subtleties regarding timestamping data (since this data includes trades and quotes from Chicago and from New Jersey, the sequence of events may appear different if you record from chicago or new york or philadelphia or some other place; if you ask the exchanges to timestamp directly, you have to worry about clock delay and skew between the exchanges' servers).
nanex is saying that it is acceptable to depend on that data and any anomalies must have occurred outside of the recording process. I am saying that the recording process can create the types of anomalies that nanex is showing, and that the only way to be sure is to record the data directly and carefully synchronize your recording machines. AND when you do that you see that there really is no anomaly.
Just to emphasize how sloppy the exchanges are with regards to timing: on the BATS exchange they use multiple servers to run trades and generate quotes, and every once in a while you see messages appear to be out of time order because the individual machines weren't properly synchronized (although, if you filter for a single ticker, messages are always in chronological order)
There's quote feed solutions that do co-location at the exchange servers and deliver the quotes to you in individual channels (ARCA/BATS/EDGX-A etc) and also SIAC feeds.
That looks like a hardware product. You still need to purchase market data access to the relevant exchanges to get that data, and those are expensive (NASDAQ costs, for example, run upwards of 20K/mo to get the lowest-latency data)
They should just spring for the data before making accusations -- the problem is that when you cry wolf all the time no one will take them seriously when a real case comes around.
Honest question: How are timestamps different from any other user-supplied data? Is the timeline of events ever recorded using an unsynchronized clock for relative comparison?
hmm, its not only the activity just before the official announcement, but also, just after it. There is no way possible that people can just make make a trade 'after' hearing a report 100-200 milliseconds after the report.
The trading before the official announcement is a concrete proof, if this is official, and bug/error free. But then again, this is not my forte.
