Quick definition The consolidated tape is a unified, real-time record of all trades in a security across all US venues. It is published by the SIPs (Securities Information Processors). What it is The consolidated tape shows every trade (price and size) from every venue. A trade executed on NASDAQ appears on the consolidated tape. A trade on a dark pool also appears (after execution). The consolidated tape is the official record of trading activity. It provides complete transparency into market activity. Why it matters The consolidated tape provides transparency. All market participants can see what trades have occurred at what prices. This deters fraud and manipulation. The consolidated tape also provides data for research. Academics and traders use consolidated tape data to understand market dynamics. Tape content The consolidated tape includes: - Security symbol - Trade price - Trade size - Venue of execution - Timestamp The tape does not identify the traders or counterparties (for privacy). Real-time versus historical Real-time consolidated tape shows trades as they occur (with a small delay). Historical consolidated tape data is archived and available for research. Practical example A trade executes on NASDAQ: 10,000 shares of AAPL at 150.40. Within milliseconds, this trade appears on the consolidated tape. Traders watching the consolidated tape see the trade. Regulators use the consolidated tape to monitor for suspicious patterns. SIP delays The SIP publishes consolidated tape data with a delay of 100-250 milliseconds. This delay is small but significant for HFT. This is why HFT firms subscribe to direct exchange feeds (which are faster) in addition to the SIP tape. See also - Securities Information Processor (SIP) - Data Feed - Trade Reporting - Market Transparency
