Orders versus Trades on the Consolidated Tape

40 Pages Posted: 2 Jul 2015 Last revised: 18 Oct 2018

See all articles by James Upson

James Upson

University of Texas at El Paso

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics

Hardy Johnson

Kansas State University

Date Written: January 12, 2018

Abstract

U.S. exchanges, with the exception of the NYSE, report trades based on the size of resting order in the limit order book. Using ITCH data time stamped to the nanosecond, we show that this reporting convention often results in arriving marketable orders being reported as multiple trades of smaller size. We show the size of marketable orders cannot be recovered using data sources time stamped to the millisecond. The reporting convention introduces significant biases into standard empirical methods. Many exchanges around the world report trades based on the size of the resting limit order, introducing the bias.

Keywords: TAQ data, DTAQ data, Consolidated Tape, Order Size, Trade Size

JEL Classification: G10, G14

Suggested Citation

Upson, James and McInish, Thomas H. and Johnson, Hardy, Orders versus Trades on the Consolidated Tape (January 12, 2018). Available at SSRN: https://ssrn.com/abstract=2625401 or http://dx.doi.org/10.2139/ssrn.2625401

James Upson (Contact Author)

University of Texas at El Paso ( email )

500 West University
El Paso, TX 79968-0545
United States

Thomas H. McInish

University of Memphis - Fogelman College of Business and Economics ( email )

Memphis, TN 38152
United States
901-678-4662 (Phone)
901-678-3006 (Fax)

Hardy Johnson

Kansas State University ( email )

Manhattan, KS 66506-4001
United States

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