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Verona
Posts:59
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| 11/04/2008 12:03 PM |
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Some of the trades from the TAQ trade file seem to trade at a prices
greater/smaller than other trades around the same time. This gives an
effect of trades being executed way outside the NBBO spread. These trades
dont carry any 'sale condition' that would suggest they should be that far
outside the NBBO. Here's some examples:
153850047PAAPL @F 00000010000001311800 000000000004848717N
153850047PAAPL @F 00000010000001311900 000000000004848760N
153850063DAAPL 00000010000001327000 000000000004848771NN
153850063DAAPL 00000010000001327000 000000000004848773NN
153850203DAAPL 00000050000001311952 000000000004848859NQ
You will see that there are a number of times that the price jumps from
131.xx to 132.xx and then back down again. These trades do not seem to
have a "Sale Condition". |
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Verona
Posts:59
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| 11/04/2008 12:05 PM |
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| There were thousands of trades cancelled for the particular day that were actually cancelled in the days following that date. These cancels were therefore not reported to the tape. NYXData have no way of identifying those trades. Some exchanges may have provided lists of additionally cancelled trades, but there is no definitive list and the lists that exist did not give exact ways of matching to the tape itself. |
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