SIP (Securities Information Processor)
Market Microstructure glossary · High Frequency Dynamics & Latency Arbitrage
Definition
The consolidated feed that aggregates quote and trade data from all U.S. equity exchanges into the public NBBO; slower than exchange direct feeds, giving rise to latency arbitrage opportunities.
SIP (Securities Information Processor) in plain English
When you look up a stock's "official" best price, that number comes from the SIP — a central hub that collects quotes and trades from every U.S. exchange and blends them into one public feed showing the best available buy and sell prices (the NBBO). The catch is that gathering and combining all that data takes a few extra fractions of a second, so the SIP is slightly BEHIND reality. Fast traders who pay for each exchange's raw "direct feed" see price changes a hair sooner than the public SIP does, and that tiny head start lets them profit off people still relying on the slower official number — a practice called latency arbitrage (winning by being milliseconds faster, not smarter).
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