Hi Quinton,
Thanks for getting back. I wish things were that simple. Below, I listed the complete sequence of NBBO ticks from both vendors for SREpA on 12/4/2020, at around 10:04AM. Notice that "missing" quotes improved markets. So this cannot be simply a difference in handling by vendors. One of these vendors has technology issues. Either Polygon dropped ticks or ActiceTick inserted non-existent ones.
The reason I sound very confident is that all such discrepancies have a very clear pattern. For each ticker symbol I looked, such discrepancies started with hhmmss:99* stamps (e.g. 993 in the example below). Then they become hhmmss:994, then hhmmss:995, as the day progresses. I will have the a partial list of such discrepancies below as well, for this day, for SREpA. So this proves, all but certain, that this is a technology issue.
~~~ Complete Polygon Sequence ~~~
quoteID timeStamp@Exch timeStamp@SIP bid ask sizes exchs condCodes
692771501|100405.503591168|_|100405.503623936 103.52 103.72 20 10 11 10 1~81 1
695662901|100415.905467648|_|100415.905503232 103.52 103.74 20 7 11 19 1~81 1
695663901|100415.912047360|_|100415.912081408 103.52 103.7 20 10 11 10 1~81 1
704115201|100449.444697856|_|100449.444733440 103.53 103.71 1 7 10 19 1~81 1
710917401|100513.115634176|_|100513.115668992 103.53 103.69 1 7 10 19 1~81 1
~~~ Complete ActiveTick Sequence ~~~
Q 100405:503 103.52 103.72 20 10 P N
Q 100415:905 103.52 103.74 20 7 P Z
Q 100415:912 103.52 103.7 20 10 P N
Q 100429:993 103.53 103.7 1 10 N N <--- missing in Polygon (this improves the bid)
Q 100449:444 103.53 103.71 1 7 N Z
Q 100459:993 103.53 103.69 1 10 N N <--- missing in Polygon (this improved the offer)
Q 100504:116 103.53 103.71 1 7 N Z <--- missing in Polygon
Q 100513:115 103.53 103.69 1 7 N Z
~~~ Partial list of "missing" quotes (notice the migrating milli-sec stamp patterns) ~~~
hhmmss.xxx bid ask bSz aSz
100359993 103.55 103.72 1 10
100429993 103.53 103.7 1 10
100459993 103.53 103.69 1 10
100504116 103.53 103.71 1 7
100529993 103.55 103.73 1 10
100659993 103.57 103.73 2 10
100729993 103.57 103.68 2 10
100859993 103.55 103.74 2 10
101029993 103.61 103.79 1 10
101059994 103.61 103.81 1 10
101129994 103.61 103.78 1 10
101159994 103.61 103.75 1 10
101229994 103.61 103.76 1 10
101245637 103.61 103.78 1 7
101259994 103.61 103.71 1 10
101329994 103.56 103.67 1 10
101359994 103.54 103.67 1 10
101429994 103.45 103.63 1 10
101459994 103.48 103.63 1 17
101529994 103.48 103.62 1 17
102429994 103.29 103.58 10 17
102459994 103.31 103.57 10 17
102559994 103.33 103.57 10 17
102629994 103.34 103.6 10 17
102659994 103.32 103.59 10 17
102729994 103.3 103.56 10 17
102829994 103.37 103.65 10 17
102859994 103.4 103.69 10 10
102929994 103.44 103.69 10 10
102959994 103.48 103.75 10 10
103059994 103.53 103.78 10 10
103129994 103.54 103.78 10 10
103159994 103.48 103.73 10 10
103229995 103.39 103.68 10 10
103259995 103.39 103.67 10 10
103329995 103.41 103.67 10 10
103429995 103.39 103.67 10 10
103459995 103.42 103.69 10 10
103529995 103.42 103.68 10 10
103559995 103.44 103.73 10 10
103629995 103.44 103.69 10 10
103659995 103.4 103.65 10 10
103729995 103.35 103.62 10 10
103759995 103.31 103.59 10 17
103859995 103.39 103.66 10 10
103929995 103.42 103.68 10 10
104029995 103.43 103.68 10 10
