Orders versus Trades on the Consolidated Tape
40 Pages Posted: 2 Jul 2015 Last revised: 18 Oct 2018
Date Written: January 12, 2018
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: Suggested Citation