rthiruma@gmail.com (guest)
 |
| 03/25/2008 5:19 AM |
 Quote
 Reply
 Alert
|
Some of the quote modes have been changed on TAQ. Specifically, modes 5, 15, and 22 are now used to identify situations when the LRP is reached or the quote is gapped. Are these modes equivalent to NYSE quote conditions E, F, and U, respectively? Looking through TAQ data, I find the quotes with mode 5, 15 or 22 even though neither side of the quote is anywhere close to an "estimated" LRP. Aren't slow market conditions triggered only when quotes (at least on one side) hit either the high or low LRP? I've estimated LRP using trade prices every 30 seconds (top and bottom of every minute), the prior quarter's average daily trading, previous day's closing price and the NYSE table with LRP values (from the HybridMarket brochure). I am looking at May 2007 TAQ data and so am using the larger LRP values from the NYSE table. I found some news articles that say that the NYSE switched to the larger LRP values from February 9, 2007. Here's one example from TAQ from quotes are nowhere close to the LRPs:
Obs SYMBOL DATE TIME BID OFR BIDSIZ OFRSIZ MODE
1 ACI 20070501 9:31:10 36.06 36.20 17 3 10
2 ACI 20070501 9:31:10 36.06 36.20 17 3 12
3 ACI 20070501 9:31:10 36.06 36.12 17 7 12
4 ACI 20070501 9:31:10 36.06 36.08 17 4 12
5 ACI 20070501 9:31:11 36.01 36.08 1 4 12
6 ACI 20070501 9:31:11 36.01 36.08 2 4 12
7 ACI 20070501 9:31:12 36.01 36.08 2 6 12
8 ACI 20070501 9:31:12 36.01 36.08 2 2 12
9 ACI 20070501 9:31:12 36.01 36.08 4 2 12
10 ACI 20070501 9:31:12 36.01 36.08 4 6 12
11 ACI 20070501 9:31:13 36.01 36.08 6 6 12
12 ACI 20070501 9:31:14 36.01 36.08 6 13 12
13 ACI 20070501 9:31:14 36.03 36.08 1 13 12
14 ACI 20070501 9:31:15 36.03 36.08 1 9 12
15 ACI 20070501 9:31:15 36.03 36.16 1 1 12
16 ACI 20070501 9:31:15 36.03 36.08 1 4 12
17 ACI 20070501 9:31:16 36.03 36.08 1 1 5
The average daily trading volume (from January through March 2007) is around 3.4 million shares and the stock's closing price the previous day is between $25 and $50. The NYSE table says that the LRP value should be $0.25. Given that the first trade on May 1, 2007 was at 9:31:10 for $36.08, this meant that high LRP would be $36.33 and the low LRP is $35.83. However, the last quote above is 36.03 at the bid and 36.08 at the offer, neither of which are close to the high or low LRP. In spite of this, why is a slow market condition triggered at 9:31:16? The quote doesn't meet any of the gapped quote criteria either.
Thanks in advance for any help. |
|
|
|
|