[ElliotM]

> Unfortunately the SEC only requires them to report transactions within 15 minutes, not in real time.

TRF reports must happen within 10 seconds or be submitted with a late modifier [0]. An executing broker systematically submitting all reports 15 minutes late would be investigated pretty quickly.

You can buy access to the consolidated tape from a marketdata provider, although this is going to be pretty prohibitively expensive for an individual.

[0] https://www.finra.org/rules-guidance/rulebooks/finra-rules/6...

[dheera]

I have a Polygon real-time market data subscription and everything comes real time except for darkpools.

From the customer service bot:

"Yes, other trades are generally reported faster than dark pool trades on our WebSocket. We stream market data in real-time as we receive it, with most trades being reported very quickly. For US stocks, the average latency for trades and quotes is less than 20ms.

However, dark pool trades can be reported with a delay. FINRA allows up to 15 minutes for reporting trades from dark pools. This means that while most trades come through almost instantly, dark pool trades might have a longer reporting time."

I'm not sure what market data provider provides dark pool trades in real time?

[nairboon]

Are you using Polygon real-time data for individuals? I suspect if you're after more fine graded data you'd be looking for a data provider for "professionals". There are usually different offerings, one for personal use and one for business use ("professional subscriber"), but these market feeds are quite expensive.

[dheera]

I see. I have the "Stocks Advanced" real-time data for individuals feed. I didn't realize the "professional" real time feed isn't the same feed.

[ElliotM]

I suspect that customer service bot is incorrect. As also noted on this page[0], all dark pool trades are published to the consolidated tape, which appears to be part of the polygon API.

As an aside, the behavior you’re seeing might actually be causal- a large print appearing on the tape likely causes automated systems to widen out their quotes. Or alternatively, if the trade is through the NBBO, you’re seeing the top of the book (the protected quote) being swept in compliance with RegNMS.

[0] https://www.finra.org/investors/insights/can-you-swim-dark-p...