A Securities Information Processor (SIP) aggregates quotes and trades from all U.S. stock exchanges to feed the NYSE Trade and Quote (TAQ) database, used in much finance research to (for example) estimate effective bid-ask spreads and associated trading frictions. Is this database trustworthy? In their December 2025 paper entitled "Latency and the Look-Ahead Bias in Trade and Quote Data", Robert Battalio, Craig Holden, Matthew Pierson, John Shim and Jun Wu investigate the reliability of TAQ data, with focus on the arrival times of data with different latencies (delays) as compared to the assuredly ordered NYSE Arca Direct Feed Data. Using timestamped NYSE Daily TAQ data and NYSE Arca Direct Feed Data for the month of June 2019, they find that:
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