Consolidated Tape Association - Acquisition and Distribution of Market Data

Acquisition and Distribution of Market Data

The New York Stock Exchange is the Administrator of Network A, which includes NYSE-listed securities, and the American Stock Exchange is the Administrator of Network B, which includes AMEX-listed securities.

CTS and CQS receive trade and quote information, respectively from NYSE, AMEX, and the other regional market centers using a standard message format. Each system validates its respective message format, verifies the information against its databases (e.g., valid symbol, etc.), consolidates the information with the other market centers' information, and disseminates the information to the data recipients in its respective common standard message format via the IP Multicast network. Included in every trade and quote message is a timestamp which represents the time that the message is disseminated.

Every trade and quote is stored in the system for both on-line and after hours processing. Each system maintains a master database by symbol. CTS maintains in its database, by symbol, a consolidated high, low, last price and volume; and for each market center that trades that symbol, the market’s last sale and volume information. This information is updated with each trade.

Market centers are required, as authorizing Self-Regulatory Organizations (SROs) per the CTA Plan, to report their trade activity within 90 seconds of execution time to CTS; otherwise the trade report must be designated as a late report. It is the responsibility of the SRO to determine when a trade is late. Late trades do not impact the national last sale price.

CTS provides an automated correction processing capability in the event that a market center incorrectly reported its information. When a market center issues a correction message, CTS processes the correction and disseminates the revised trade report along with the updated consolidated and market center information that is maintained in the database. CTS also disseminates at End of Day, closing messages that provide summary information from its database for each listed stock.

For every quote message received from a market center, CQS calculates a National Best Bid and Offer (NBBO) based on a price, size and time priority scheme. If the quote is a NASDAQ market maker quote, CQS also calculates a NASDAQ BBO. CQS disseminates the Market center's root quote with an appendage that includes the National and NASDAQ BBOs. In the event that a market center is experiencing technical difficulties in providing quote information, CQS also has a facility that, at the direction of the market center, disseminates zero quotes in its securities thus eliminating any stale quotes and taking that market center out of the BBO calculations.

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