

Our first attempt at finding a cause for the delay involved comparing the trading activity in GE stock with the magnitude of the delay. Chart 2 shows the price of GE stock in red, along with the public quote delay in blue. There shouldn't be any blue vertical lines! The left price scale shows the delay in milliseconds (thousandths of a second). We couldn't find a correlation between the price and magnitude of the delay, and one does not present itself on the chart.



Next, we looked for a correlation between the number of quotes per second in GE stock and the delay, and again, found none.



We noticed that NYSE's quote was involved in crossed NBBOs (National Best Bid/Offer where bid price is greater than ask price, which is caused by a delayed quote from one exchange), in a large number of stocks. That led us to see if the number of quotes from the NYSE for all stocks in CQS (the public data-feed that transmits GE), was correlated with the delay



It was! More on that in a moment.