August 14, 2015
The NYSE is proposing to send the same trade data that every other exchange already sends, but, they won't do this for the SIP. Rather, investors would have to subscribe to the NYSE's proprietary feed. That, alone, is preposterous, as it goes against a core principle of Reg NMS: namely, the prohibition of providing core data in a private feed before the SIP. In this case, the delay isn't a few microseconds, but rather, it is forever.
We have spoken with numerous investors and institutions in the course of investigating questionable trades. The issue of NYSE bundling individual trades has been a hindrance in these matters.
We think the NYSE should fix the problem with how they report trades to the SIP and do it the same way the other 10 stock exchanges report trades: individually as each one executes.
This also brings up a question of timeliness. Often, NYSE's trades will be among the last reported during flurry of trading activity in a stock. Which is odd, because NYSE only trades NYSE listed issues and both the NYSE matching engine and the corresponding SIP are in the same room
We have always wondered if the reason for the tardy trade reports is due to the NYSE aggregating the individual trades. This aggregation may also be a violation of Reg NMS, as direct feed recipients receive individual trade executions and wouldn't be subject to aggregation delay. We wonder, how that process works. Perhaps the SEC might wonder as well.
Sincerely,
Eric Scott Hunsader
CEO Nanex, LLC