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Key Takeaways
- A SIP consolidates quotations, trades and market-status data from every U.S. equity participant into one national feed.
- The NBBO combines the highest eligible bid and lowest eligible offer.
- CTA/CQ covers Tapes A and B; UTP covers Nasdaq-listed Tape C.
- The example combines Venue B’s $40.12 bid with Venue C’s $40.15 offer.
- The three-cent spread is the cost of crossing: buy at $40.15 and sell at $40.12 right away and you lose $0.03 a share.
What is a securities information processor (SIP)?
A securities information processor, or SIP, is the system that collects quotations, trades and status messages from every U.S. equity market participant and publishes one consolidated feed under its national market system plan. Its national quote, the NBBO, combines the highest eligible bid and lowest eligible offer across venues.
CTA/CQ products cover NYSE-listed Tape A and other non-Nasdaq Tape B securities. UTP products cover Nasdaq-listed Tape C securities.
How the SIP calculates the NBBO
The processor selects the highest eligible bid and lowest eligible offer. Those two prices can come from different venues.
In the worked example, Venue A quotes $40.10/$40.16, Venue B quotes $40.12/$40.18 and Venue C quotes $40.09/$40.15. The national quote is $40.12/$40.15, with a three-cent spread and $40.135 midpoint.
Formula
NBB = maximum eligible participant bid; NBO = minimum eligible participant offer; SIP spread = NBO − NBB- Each participant sends the quotations and trades its national market system plan requires.
- The plan’s eligibility rules decide which quotes can set the NBB and NBO, so a quote on a venue’s own feed can stay out of the national quote.
- The consolidated best prices can originate on different venues.
Worked Example
At the same moment, three participants publish eligible XYZ quotations: Venue A $40.10 bid and $40.16 offer, Venue B $40.12 and $40.18, and Venue C $40.09 and $40.15.
- National best bid: maximum of $40.10, $40.12, and $40.09 = $40.12
- National best offer: minimum of $40.16, $40.18, and $40.15 = $40.15
- Consolidated NBBO: $40.12 by $40.15
- Quoted spread: $40.15 − $40.12 = $0.03
Venue B supplies the $40.12 national best bid and Venue C supplies the $40.15 national best offer. The consolidated spread is $0.03 and the midpoint is $40.135.
SIP data products vs direct exchange feeds
Consolidated quotation products include participant and national quotation information. Trade products carry last-sale records, sale conditions and corrections. Status messages identify events such as trading halts.
Direct feeds carry one venue’s full detail, such as its depth and order events, and can reach subscribers before the SIP. Put the two together to see the national quote beside the book of the venue you route to.
How to compare a trade with the SIP quote
Compare the completed price with the relevant bid, offer and midpoint. Use the trade’s event time and condition to identify the matching quotation and execution context.
Time and sales provides the completed-trade view, while market depth adds displayed price levels and quantities. For an option entry, the options profit calculator turns the actual entry premium into breakeven and payoff.
Limitations of the SIP
- Expect the SIP to trail direct feeds. Consolidation adds processing and transmission steps, so a fast-moving quote changes on a venue’s direct feed before the SIP shows it.
- Check depth before you size up. The national quote shows only the best eligible prices and their size, so an order larger than the displayed size trades into levels that direct feeds and depth products show.
- Read the NBBO as the eligible quote. The plan and Regulation NMS decide which quotes can set it, so a quote on a venue’s own feed can stay out of the national best bid and offer.
- Match each trade to the quote at its own timestamp. The NBBO changes with every update, so compare a fill with the quote at the trade’s event time and read its sale condition.
Bottom line
The SIP is the public consolidated feed for U.S. stocks: it combines each participant’s quotes and trades into one national view and computes the NBBO. Use it as the reference for spreads and execution prices, and add direct feeds when you need depth, order events or venue-level updates.
Clear answers
Frequently Asked Questions
Sources and Further Reading
How entries are sourced, calculated and updated: editorial methodology.