Sander Schwenk-Nebbe

Aarhus University - Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

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Scholarly Papers (1)

The Participant Timestamp: Get The Most Out Of TAQ Data

Number of pages: 81 Posted: 15 Dec 2021 Last Revised: 08 Apr 2022
Sander Schwenk-Nebbe
Aarhus University - Department of Economics and Business Economics
Downloads 270 (154,443)

Abstract:

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U.S. equity market data, TAQ, marketable order execution identifier, NBBO, participant timestamp, SIP timestamp, dissemination latency, sequence errors, on- and off-exchange trade signing.

The Participant Timestamp: Get The Most Out Of TAQ Data

Number of pages: 81 Posted: 28 Jan 2021 Last Revised: 08 Apr 2022
Sander Schwenk-Nebbe
Aarhus University - Department of Economics and Business Economics
Downloads 221 (187,957)

Abstract:

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U.S. equity market data, TAQ, marketable order execution identifier, NBBO, participant timestamp, SIP timestamp, dissemination latency, sequence errors, on- and off-exchange trade signing.