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Ramabhadran
Posts:2
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| 07/03/2007 1:13 PM |
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I'm trying to match TAQ and OpenBook and find that OpenBook data lags TAQ data by a few seconds. For example, if a trade reported on TAQ is execution of a limit order, the limit order is removed from OpenBook a few seconds after the trade's time-stamp on TAQ.
1. Is there any reason for this?
2. Is there a standard rule-of-thumb I could use to match up TAQ and OpenBook in terms of the time-stamp?
3. The limit order book (created from OpenBook data) appears crossed or locked for long periods, which is inconsistent with the quotes on TAQ. Any reason for this? Any insights?
Thanks in advance |
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Ariel
Posts:156
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| 07/23/2007 9:35 AM |
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I would not try to match TAQ and OpenBook for a few reasons:
1)OpenBook is refreshed every 1 second so the timestamps will not match
2)OpenBook only shows the limit order book and the quotes in TAQ contain the NYSE Best Quote (Limit Order Book+Crowd Interest+Specialist Interest)
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