Default if not specified. NBBO information is not applicable. NBBOEntryType(2831), NBBOPrice(2832), and NBBOQty(2833) must be omitted.
Information is retrieved directly from an exchange or other electronic execution venue. There may be a performance advantage compared to retrieving the information from a source consolidating multiple feeds.
Securities Information Processor
The Securities Information Processor (SIP) links the U.S. markets by processing and consolidating all protected bid/ask quotes and trades from every trading venue into a single, easily consumed data feed.
A combination of two or more data feeds is used as NBBO source. In the context of US CAT this is used for a combination of direct and SIP feeds.