The Participant Timestamp: Get The Most Out Of TAQ Data

Abstract

Starting in 2015, the participant timestamp is available alongside the primary SIP timestamp in TAQ data. This paper shows that all trades and quote updates triggered in the execution of the same marketable order receive the same participant (but not SIP) timestamp. Using this insight, TAQ can now be extended by a marketable order execution identifier. The new identifier is applied to accurately obtain otherwise biased prevailing NBBO prices and depths, to improve trade signing accuracy, to consolidate trades of marketable orders executed in parts, and to identify trades executed against hidden liquidity directly in TAQ data.

Keywords: 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.

JEL Classification: G10, G18, K22.