Consolidated Tape Association
Encyclopedia
The Consolidated Tape Association (CTA) oversees the dissemination of real-time trade
and quote
information (market data
) in New York Stock Exchange
(NYSE) and American Stock Exchange
(AMEX) listed securities (stock
s and bonds
). It is currently chaired by Tom Knorring, the first non-NYSE chairman elected to the position.
CTA manages two Plans
to govern the collection, processing and dissemination of trade and quote data: the Consolidated Tape Plan
, which governs trades, and the Consolidate Quotation Plan
, which governs quotes. The Plans were filed with and approved by the Securities and Exchange Commission
(SEC) in accordance with Section 11A of the Securities Exchange Act of 1934
.
Since the late 1970s, all SEC-registered exchanges and market centers that trade NYSE or AMEX-listed securities send their trades and quotes to a central consolidator where the Consolidated Tape System
(CTS) and Consolidated Quotation System
(CQS) data streams are produced and distributed worldwide. The CTA is the operating authority for CQS and CTS.
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.
; CQS is operated at CTA’s complex in lower Manhattan
, thereby providing redundancy
in the event of a site disaster. If a site disaster should occur at either location, all of the computer processing would be transferred to the surviving site at reduced capacity.
CTS and CQS receive their data from the market centers over network-based TCP/IP connections. Each market center has redundant communication paths into the two operating environments and each uses diverse common telephone carriers
to send its trade and quote data to the Securities Industry Automation Corporation
(SIAC). SIAC simultaneously distributes, via IP Multicast, trade and quote information to the CTS and CQS subscribers from both sites.
Independent of where the system is physically located (i.e., in lower Manhattan or in Brooklyn), both streams of data are simultaneously distributed out of both sites using an SIAC-developed Multicast Packet Replicator (MPR) thus providing "live" redundant streams to data recipients. The use of IP Multicast, introduced to the market data industry in 1997, was the first widespread implementation of such technology. SIAC's design and implementation of this technology has been recognized and accepted into the permanent archives of the Smithsonian Institution
. This technology allows trade and quote data to be distributed in a broadcast mode over a network
and eliminates any dependency where one data recipient having a problem might impact another data recipient.
In situations where a data recipient has experienced data loss
in receiving the information (e.g., due to a system problem at the receiving site) an automated retransmission
facility is available to allow that data recipient to automatically request and receive message retransmissions.
Trader (finance)
A trader is someone in finance who buys and sells financial instruments such as stocks, bonds, commodities and derivatives. A broker who simply fills buy or sell orders is not a trader, as they are merely executing instructions given to them. According to the Wall Street Journal in 2004, a managing...
and quote
Financial quote
A financial quotation refers to specific market data relating to a security or commodity. While the term quote specifically refers to the bid price or ask price of an instrument, it may be more generically used to relate to the last price which the security traded at...
information (market data
Market data
In finance, market data is quote and trade-related data associated with equity, fixed-income, financial derivatives, currency, and other investment instruments. Market data is numerical price data, reported from trading venues, such as stock exchanges...
) in New York Stock Exchange
New York Stock Exchange
The New York Stock Exchange is a stock exchange located at 11 Wall Street in Lower Manhattan, New York City, USA. It is by far the world's largest stock exchange by market capitalization of its listed companies at 13.39 trillion as of Dec 2010...
(NYSE) and American Stock Exchange
American Stock Exchange
NYSE Amex Equities, formerly known as the American Stock Exchange is an American stock exchange situated in New York. AMEX was a mutual organization, owned by its members. Until 1953, it was known as the New York Curb Exchange. On January 17, 2008, NYSE Euronext announced it would acquire the...
(AMEX) listed securities (stock
Stock
The capital stock of a business entity represents the original capital paid into or invested in the business by its founders. It serves as a security for the creditors of a business since it cannot be withdrawn to the detriment of the creditors...
s and bonds
Bond (finance)
In finance, a bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest to use and/or to repay the principal at a later date, termed maturity...
). It is currently chaired by Tom Knorring, the first non-NYSE chairman elected to the position.
CTA manages two Plans
National market system plan
A national market system plan is a structured method of transmitting securities transactions in real-time. In the United States, national market systems are governed by section 11A of the Securities Exchange Act of 1934....
to govern the collection, processing and dissemination of trade and quote data: the Consolidated Tape Plan
Consolidated Tape System
The Consolidated Tape System is the electronic service, introduced in April 1976, that provides last sale and trade data for issues admitted to dealings on the American Stock Exchange, New York Stock Exchange, and U.S...
, which governs trades, and the Consolidate Quotation Plan
Consolidated Quotation System
The Consolidated Quotation System is the electronic service that provides quotation information for stock traded on the American Stock Exchange, New York Stock Exchange, and other regional stock exchanges in the United States and also includes issues traded by FINRA member firms in the third market...
, which governs quotes. The Plans were filed with and approved by the Securities and Exchange Commission
United States Securities and Exchange Commission
The U.S. Securities and Exchange Commission is a federal agency which holds primary responsibility for enforcing the federal securities laws and regulating the securities industry, the nation's stock and options exchanges, and other electronic securities markets in the United States...
(SEC) in accordance with Section 11A of the Securities Exchange Act of 1934
Securities Exchange Act of 1934
The Securities Exchange Act of 1934 , , codified at et seq., is a law governing the secondary trading of securities in the United States of America. It was a sweeping piece of legislation...
.
Since the late 1970s, all SEC-registered exchanges and market centers that trade NYSE or AMEX-listed securities send their trades and quotes to a central consolidator where the Consolidated Tape System
Consolidated Tape System
The Consolidated Tape System is the electronic service, introduced in April 1976, that provides last sale and trade data for issues admitted to dealings on the American Stock Exchange, New York Stock Exchange, and U.S...
(CTS) and Consolidated Quotation System
Consolidated Quotation System
The Consolidated Quotation System is the electronic service that provides quotation information for stock traded on the American Stock Exchange, New York Stock Exchange, and other regional stock exchanges in the United States and also includes issues traded by FINRA member firms in the third market...
(CQS) data streams are produced and distributed worldwide. The CTA is the operating authority for CQS and CTS.
Participant Exchanges
The current Participants include:- American Stock ExchangeAmerican Stock ExchangeNYSE Amex Equities, formerly known as the American Stock Exchange is an American stock exchange situated in New York. AMEX was a mutual organization, owned by its members. Until 1953, it was known as the New York Curb Exchange. On January 17, 2008, NYSE Euronext announced it would acquire the...
(AMEX) - Boston Stock ExchangeBoston Stock ExchangeThe Boston Stock Exchange is a regional stock exchange located in Boston, Massachusetts. The third-oldest stock exchange in the United States, it was founded in 1834...
(BSE) - Chicago Board Options ExchangeChicago Board Options ExchangeThe Chicago Board Options Exchange , located at 400 South LaSalle Street in Chicago, is the largest U.S. options exchange with annual trading volume that hovered around one billion contracts at the end of 2007...
(CBOE) - Chicago Stock ExchangeChicago Stock ExchangeThe Chicago Stock Exchange is a stock exchange in Chicago, Illinois, USA. The exchange is a national securities exchange and self-regulated organization, which operates under the oversight of the U.S. Securities and Exchange Commission . The Chicago Stock Exchange is the third most active stock...
(CHX) - Direct EdgeDirect EdgeDirect Edge is a Jersey City, NJ-based stock exchange operating two separate platforms, EDGA Exchange and EDGX Exchange. Since March 2009, Direct Edge has had a market share in the range of 9%-12% of U.S. equities trading volume, regularly trades 1 billion to 2 billion shares per day...
(EDGA; EDGX) - Financial Industry Regulatory AuthorityFinancial Industry Regulatory AuthorityIn the United States, the Financial Industry Regulatory Authority, Inc., or FINRA, is a private corporation that acts as a self-regulatory organization . FINRA is the successor to the National Association of Securities Dealers, Inc. ...
(FINRA) - International Securities ExchangeInternational Securities ExchangeInternational Securities Exchange Holdings, Inc. is a wholly owned subsidiary of German derivatives exchange Eurex. It is a member of the Options Clearing Corporation and the Options Industry Council . Historically, responsibility for organizing the Options Industry Conference is rotated amongst...
(ISE) - Nasdaq Stock Market (NASDAQ)
- National Stock ExchangeNational Stock ExchangeThe National Stock Exchange is an electronic stock exchange located in Chicago, Illinois. It was founded March 1885 in Cincinnati, Ohio, as the Cincinnati Stock Exchange. In 1976, it closed its physical trading floor and became an all-electronic stock market...
(NSX) - New York Stock ExchangeNew York Stock ExchangeThe New York Stock Exchange is a stock exchange located at 11 Wall Street in Lower Manhattan, New York City, USA. It is by far the world's largest stock exchange by market capitalization of its listed companies at 13.39 trillion as of Dec 2010...
(NYSE) - NYSE ArcaNYSE ArcaNYSE Arca, previously known as ArcaEx, an abbreviation of Archipelago Exchange, is a securities exchange on which both stocks and options are traded...
, and - Philadelphia Stock ExchangePhiladelphia Stock ExchangePhiladelphia Stock Exchange , now known as NASDAQ OMX PHLX, is the oldest stock exchange in the United States, founded in 1790. It is now owned by NASDAQ OMX and located at 1900 Market Street, in Center City Philadelphia.-History:...
(PHLX) - Bats ExchangeBats Exchange, IncBATS is a stock exchange based in Lenexa, Kansas, a satellite city of Kansas City, Missouri. BATS was founded in June 2005 as an ECN and its name stands for Better Alternative Trading System....
( BATS)
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
Regional stock exchange
A regional stock exchange is a term used in the United States to describe stock exchanges that operates outside of the country's main financial center in New York City...
using a standard message format. Each system validates its respective message format, verifies the information against its databases (e.g., valid symbol
Ticker symbol
A stock symbol or ticker symbol is a short abbreviation used to uniquely identify publicly traded shares of a particular stock on a particular stock market. A stock symbol may consist of letters, numbers or a combination of both. "Ticker symbol" refers to the symbols that were printed on the ticker...
, 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
IP Multicast
IP multicast is a method of sending Internet Protocol datagrams to a group of interested receivers in a single transmission. It is often employed for streaming media applications on the Internet and private networks. The method is the IP-specific version of the general concept of multicast...
network. Included in every trade and quote message is a timestamp
Timestamp
A timestamp is a sequence of characters, denoting the date or time at which a certain event occurred. A timestamp is the time at which an event is recorded by a computer, not the time of the event itself...
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
Late trading
Late trading is trading executed after the standard local national exchanges have closed. This is distinct from after-hours trading, as they have in context specific meanings, the former may be illegal while the latter is legal.-Mutual funds:...
processing. Each system maintains a master database
Database
A database is an organized collection of data for one or more purposes, usually in digital form. The data are typically organized to model relevant aspects of reality , in a way that supports processes requiring this information...
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
Market liquidity
In business, economics or investment, market liquidity is an asset's ability to be sold without causing a significant movement in the price and with minimum loss of value...
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
End Of Day
End of day, end of business, close of business or COB is the end of the trading day in financial markets, the point when trading ceases. In some markets it is actually defined as the point in time a few minutes prior to the actual cessation of trading, when the regular traders' orders are no longer...
, 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
National best bid and offer
National Best Bid and Offer is a term used in United States Securities and Exchange Commission regulations. Brokers are required to execute customer trades at the best available ask price when buying securities, and the best available bid price when selling securities....
(NBBO) based on a price, size and time priority scheme. If the quote is a NASDAQ market maker
Market maker
A market maker is a company, or an individual, that quotes both a buy and a sell price in a financial instrument or commodity held in inventory, hoping to make a profit on the bid-offer spread, or turn. From a market microstructure theory standpoint, market makers are net sellers of an option to be...
quote, CQS also calculates a NASDAQ BBO. CQS disseminates the Market center's root
Ticker symbol
A stock symbol or ticker symbol is a short abbreviation used to uniquely identify publicly traded shares of a particular stock on a particular stock market. A stock symbol may consist of letters, numbers or a combination of both. "Ticker symbol" refers to the symbols that were printed on the ticker...
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.
Technology Infrastructure
Both the CTS and the CQS systems are operated on fault tolerant computer platforms at different physical computer sites; CTS is operated at CTA’s complex in BrooklynBrooklyn
Brooklyn is the most populous of New York City's five boroughs, with nearly 2.6 million residents, and the second-largest in area. Since 1896, Brooklyn has had the same boundaries as Kings County, which is now the most populous county in New York State and the second-most densely populated...
; CQS is operated at CTA’s complex in lower Manhattan
Manhattan
Manhattan is the oldest and the most densely populated of the five boroughs of New York City. Located primarily on the island of Manhattan at the mouth of the Hudson River, the boundaries of the borough are identical to those of New York County, an original county of the state of New York...
, thereby providing redundancy
Redundancy (engineering)
In engineering, redundancy is the duplication of critical components or functions of a system with the intention of increasing reliability of the system, usually in the case of a backup or fail-safe....
in the event of a site disaster. If a site disaster should occur at either location, all of the computer processing would be transferred to the surviving site at reduced capacity.
CTS and CQS receive their data from the market centers over network-based TCP/IP connections. Each market center has redundant communication paths into the two operating environments and each uses diverse common telephone carriers
Telephone company
A telephone company is a service provider of telecommunications services such as telephony and data communications access. Many were at one time nationalized or state-regulated monopolies...
to send its trade and quote data to the Securities Industry Automation Corporation
Securities Industry Automation Corporation
The Securities Industry Automation Corporation is a subsidiary of the NYSE Euronext. Its purpose is to provide technical services for the exchanges themselves, members and other financial institutions. In this role, SIAC provides the computers and other systems required to run the exchanges...
(SIAC). SIAC simultaneously distributes, via IP Multicast, trade and quote information to the CTS and CQS subscribers from both sites.
Independent of where the system is physically located (i.e., in lower Manhattan or in Brooklyn), both streams of data are simultaneously distributed out of both sites using an SIAC-developed Multicast Packet Replicator (MPR) thus providing "live" redundant streams to data recipients. The use of IP Multicast, introduced to the market data industry in 1997, was the first widespread implementation of such technology. SIAC's design and implementation of this technology has been recognized and accepted into the permanent archives of the Smithsonian Institution
Smithsonian Institution
The Smithsonian Institution is an educational and research institute and associated museum complex, administered and funded by the government of the United States and by funds from its endowment, contributions, and profits from its retail operations, concessions, licensing activities, and magazines...
. This technology allows trade and quote data to be distributed in a broadcast mode over a network
Computer network
A computer network, often simply referred to as a network, is a collection of hardware components and computers interconnected by communication channels that allow sharing of resources and information....
and eliminates any dependency where one data recipient having a problem might impact another data recipient.
In situations where a data recipient has experienced data loss
Data loss
Data loss is an error condition in information systems in which information is destroyed by failures or neglect in storage, transmission, or processing. Information systems implement backup and disaster recovery equipment and processes to prevent data loss or restore lost data.Data loss is...
in receiving the information (e.g., due to a system problem at the receiving site) an automated retransmission
Retransmission
Retransmission might refer to:* Retransmission , the resending of packets which have been damaged or lost* Replication of a signal at a repeater**re-broadcast through a rebroadcaster or broadcast translator or booster, or relay station...
facility is available to allow that data recipient to automatically request and receive message retransmissions.