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Both the scientific community and the popular press have paid much attentionto the speed of the Securities Information Processor, the data feedconsolidating all trades and quotes across the US stock market. Rather than thespeed of the Securities Information Processor, or SIP, we focus here on itsaccuracy. Relying on Trade and Quote data, we provide various measures of SIPlatency relative to high-speed data feeds between exchanges, known as directfeeds. We use first differences to highlight not only the divergence betweenthe direct feeds and the SIP, but also the fundamental inaccuracy of the SIP.We find that as many as 60 percent or more of trades are reported out ofsequence for stocks with high trade volume, therefore skewing simple measuressuch as returns. While not yet definitive, this analysis supports ourpreliminary conclusion that the underlying infrastructure of the SIP iscurrently unable to keep pace with the trading activity in today's stockmarket.

Price Discovery and the Accuracy of Consolidated Data Feeds in the U.S. Equity Markets