There was a requirement that within 90 seconds, any execution on any online or traditional broker system need to be reported to the “official” exchange. For each listed security, there’s probably a single “official” listing exchange.
Take IBM for example.
- On NYSE, executions only take place after 9.30am, usually after an opening auction.
- On-line electronic brokers operate 24/7 so an execution could happen and get reported any time. However, NYSE data feed only publishes it after 4am by right. I don’t know how strict this timing is. If your feed shows it before 4am I guess you are free to discard it. Who knows it might be a test message.