Consolidated Tape NBBO

objective

Build and monitor consolidated tape and nbbo pipelines with latency-aware validation and market-structure controls.

workflow

1. define venue universe, quote protection rules, and timestamp precedence conventions.
2. normalize sip and direct feeds into a unified quote and trade schema.
3. reconstruct nbbo snapshots and track locked or crossed market states.
4. detect trade-through events and attribute them to latency, stale quotes, or routing errors.
5. release only when quote quality and reconciliation diagnostics remain within thresholds.

required diagnostics

• nbbo spread stability and outlier frequency by symbol and session.
• locked and crossed market rate with root-cause attribution.
• sip-versus-direct latency differential and drift.
• trade-through incidence versus protected quote state.
• quote staleness and missing-venue coverage metrics.