I am using the TAQ “trades” data over April 2002. TAQ 2 User’s Guide (page 4) reads: “TAQ does not include transaction data that is reported outside of the Consolidated Tape hours of operation. As of August 2000, those hours are 8:00am to 6:30pm EST.” However, when I am retrieving the “full day” data for Nasdaq-100 Index tracking stock (ticker QQQ) the first trades are postmarked by no earlier than 9:30:00 am.
How can this be explained? Does it mean that for some reason the NYSE, AMEX and Nasdaq markets start trading in QQQs only at 9:30 am? Why?
Thank you, |