AlgoSeek.US.Equities.TAQ.2.3

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US EQUITIES
TRADES AND QUOTES (“TAQ”) CSV
Level 1 Overview
Version 2.0
September 1, 2017
Copyright 2017 AlgoSeek, LLC. All rights reserved.
1
Contents
INTRODUCTION .......................................................................................................... 3
SIP DATA FEED ............................................................................................................ 3
DATA DISTRIBUTION AND COLLECTION ............................................................. 3
NYSE AND NYSE MARKET (old AMEX).................................................................. 3
NASDAQ ........................................................................................................................ 4
CSV FILE FORMAT ...................................................................................................... 5
TIMESTAMP ................................................................................................................. 5
EVENT TYPE ................................................................................................................ 6
EXHCHANGE (MARKET CENTERS) ........................................................................ 7
CONDITIONS QUOTE/TRADE FLAGS. .................................................................... 8
TRADE CONDITIONS FLAGS .................................................................................... 8
QUOTE CONDITION FLAGS .................................................................................... 15
Copyright 2017 AlgoSeek, LLC. All rights reserved.
2
INTRODUCTION
Trades and Quotes data with all top-of-book intraday quotes and trades for all listed stocks,
ETNs, ETFs, ADRs and funds from 13+ U.S. exchanges and market places. All trades and
quotes are normalized into single format feed where events are ordered by timestamp with
millisecond resolution. The entire trading session includes early and late hours from 3:30
AM to 8:00 PM EST.
SIP DATA FEED
The data is collected from the SIP (Securities Information Processor) data, also known as
the “Consolidated Feed”.
The SIP was created to be the central, consolidated live stream and aggregator of every
exchange’s best quotes (bids and offers) being offered and trades. Exchanges are prohibited
by law from sending their quotes and trades to direct feeds before sending them to the SIP.
In the highly fragmented world of U.S. equities, the SIP is an easy way for people to get a
view of the current state of the market. More importantly, the SIP acts as the benchmark
used by regulators and others to determine the NBBO (National Best Bid and Offer).
The SIP has a long history. It was created by the 1975 amendments to the Exchange Act.
The idea behind the SIP was to create a National Market System where investors and
professionals would have access to real time price information. This was when access to
real time quote information was difficult to come by, unlike today’s markets.
DATA DISTRIBUTION AND COLLECTION
Collection of US Equities data is dependent on where the stock is officially listed. When
a stock goes “Public” (eg. IPO) it is officially listed on one exchange and then available
for trading on multiple other exchanges. The listing Exchanges are NYSE, NYSE
Market (old AMEX), NASDAQ and BATS.
When subscribing to data from a vendor you are receiving the consolidated feed data
which we describe here. Direct feeds from the exchanges are different and used by high
frequency/ultra low latency trading firms with co-located computers.
NYSE AND NYSE MARKET (OLD AMEX)
Historically trade and quote data for stocks listed on NYSE and AMEX was distributed
by the Consolidated Tape Association (CTA). The CTA has two services:
Consolidated Tape System (CTS) : For Trades
Consolidated Tape System (CQS) : For Quotes
Any market center (Exchange, Dark Pool, etc) must report any Trades and Quotes for
stocks that are officially listed on the NYSE or AMEX to CTA.
Copyright 2017 AlgoSeek, LLC. All rights reserved.
3
To learn more, read:
https://en.wikipedia.org/wiki/Consolidated_Tape_Association
NASDAQ
Nasdaq listed stocks have their quotes and trades reported through UTP (“unlisted trading
privileges”). Under the UTP Plan, all U.S. exchanges, that quote and trade NASDAQ
listed securities, must provide their data to a centralized securities information processor
(SIP) for data consolidation and dissemination.
NASDAQ, in its current role as the SIP for the UTP plan, supports following data feed
products:
 UTP Quotation Data Feed (UQDF) provides best bid and offer (BBO) quotes
from the UTP participants as well as the consolidated national best bid and offer
(National BBO) quotes for securities listed on the NASDAQ Stock Market.
 UTP Trade Data Feed (UTDF) provides trade data from the UTP participants for
securities listed on the NASDAQ Stock Market.
Normalized Data
AlgoSeek collects data from multicast CTS/CQS/UTDF/UQDF feeds, then normalizes it
and consolidates the data to deliver it in a CSV format.
Copyright 2017 AlgoSeek, LLC. All rights reserved.
4
CSV FILE FORMAT
Each row has the following format:
Date
20150128
Timestamp
09:31:01.723
EventType Ticker Price
QUOTE
ADT
33.95
BID
Quantity
200
Exchange
NYSE
Conditions
00000001
Date: Date format is YYYYMMDD. Field is optional.
Timestamp: Format HH:MM:SS.MMM. See “Timestamp” section below.
EventType: The type of Event. See section “EventType” below.
Ticker: Symbol.
Price: The price of the Bid, Quote or Trade.
Quantity. Number of shares. For some event types this can be 0.
Exchange. The Exchange or reporting venue. See “Exchange” below.
Conditions. See “Conditions” sections below. There are different Conditions for Quotes
(Bid/Ask) and Trades.
Example:
20150128,09:31:01.723,QUOTE BID,ADT,33.95,200,EDGX,00000001
20150128,09:31:01.723,QUOTE ASK,ADT,36.75,200,EDGX,00000001
20150128,09:31:01.723,QUOTE BID NB,ADT,35.25,7100,NYSE,00000800
20150128,09:31:01.723,QUOTE ASK NB,ADT,35.28,100,NYSE,00000800
20150128,09:31:01.725,TRADE NB,ADT,35.25,2667,NYSE,20000020
20150128,09:31:01.725,TRADE,ADT,35.28,43,NYSE,80000000
20150128,09:31:01.725,TRADE NB,ADT,35.25,4478,NYSE,20000020
TIMESTAMP
The timestamps are in milliseconds.
The normal format is HH:MM:SS.MMM where
HH: Hour
MM: Minute
SS: Seconds
MMM: Milliseconds
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5
For some special datasets, the Timestamp is Milliseconds since Midnight. The number of
milliseconds since midnight EST. To convert to HHMMSS.MMM use the following:
timestamp=milliseconds since midnight
x = timestamp
# Get millis
ms=x mod 1000
# Get seconds
x = ms / 1000
seconds = x mod 60
#Get Minutes
x = x / 60
minutes = x mod 60
#Get hours
x = x / 60
hours = x mod 24
EVENT TYPE
EventType
QUOTE BID
QUOTE BID NB
QUOTE ASK
QUOTE ASK NB
TRADE
TRADE NB
TRADE CANCELLED
Description
Exchange Best Bid Quote.
Change in a market center’s best bid
Exchange Best Bid Quote that is new NBBO.
Change in a market center’s best bid
Exchange Best Ask Quote.
Change in a market center’s best ask.
Exchange Best Ask Quote that is new NBBO.
Change in a market center’s best ask.
Trade at the Exchange or reported to market center.
Trade at National Best Price
Previous trade cancellation (reduce total traded volume
by this amount). Trade corrections are constructed as a
cancellation of the previous trade, with the corrected
trade following the cancellation
NB Note: NB refers to the National Best Bid Offer (“NBBO”). When a quote changes
the NBBO you will see the following:
Time
11:09:54.746
11:09:54.746
Text
QUOTE BID
QUOTE BID NB
Symbol
IBM
IBM
Price
166.18
166.18
Quantity Exchange
100
NASDAQ
100
NASDAQ
Copyright 2017 AlgoSeek, LLC. All rights reserved.
Flags
1
1
6
11:09:54.746
QUOTE ASK NB
IBM
166.19
100
ARCA
1
NASDAQ new Bid changed the NBBO so the new NBBO is displayed as two rows
showing the new NBBO. When reading the TAQ file the Quote Bid NB and Quote Ask
NB repeat quotes already seen from the market center creating the quote. The
consolidated feed sends the NBBO data as a separate feed from market center quotes.
Sometimes you will be see a crossed NBBO (eg. the Bid=Offer) this happens when one
side has updated and the other has not been printed yet. Typically you will see another
NBBO print in the same millisecond with the correct market.
AlgoSeek provides the data as it was received from the exchange but normalized and
consolidated into one file. This means it is not perfect (for example crossed NBBO) but
that it what happens in real trading and this data allows clients to simulate real trading.
Clients can of course clean the data to meet their own objectives.
“0” Bid and Ask Quote At Close. Exchanges may send Quote Bid/Ask with price of 0
on the close to indict it is the last Quote Bid/Ask of the normal market hours, for
example:
20160128,16:00:01.004,QUOTE BID,IBM,0.00,0,BATS Y,00000001
20160128,16:00:01.004,QUOTE ASK,IBM,0.00,0,BATS Y,00000001
EXHCHANGE (MARKET CENTERS)
Exchange
NYSE AMEX
NASDAQ OMX BX
National Stock Exchange
FINRA.
(Internal crosses from Brokder
Dealers, Dark Pools, etc)
International Securities Exchange
Direct Edge A
Direct Edge X
Chicago Stock Exchange
New York Stock Exchange
NYSE Arca
NASDAQ OMX
CBOE Stock Exchange
NASDAQ OMX PSX
BATS Y-Exchange Inc.
BATS Exchange, Inc.
Market Id Code
A
B
C
D
I
J
K
M
N
P
T or Q
W
X
Y
Z
Copyright 2017 AlgoSeek, LLC. All rights reserved.
7
CONDITIONS QUOTE/TRADE FLAGS.
The conditions codes are for researchers who really want to dig into the consolidated feed
data. This requires an expert level of knowledge and good coding skills.
Each flag shows a particular condition applicable to the trade/quote. The flag value
indicates a bit position of the flag value inside the unsigned 32-bit integer value.
Note: There are two sets of condition flags listed below, one for Trades and the other for
Bids/Quotes.
TRADE CONDITIONS FLAGS
Flags
Description
BIT
mask
position
Settlement Type
BIT mask
tRegular
A trade made without
stated conditions is
deemed regular way
for settlement on the
third business day
following the
transaction date.
0
00000000 00000000 00000000 00000001
tCash
A transaction which
requires delivery of
securities and payment
on the same day the
trade takes place.
A transaction that
requires the delivery of
securities on the first
business day following
the trade date.
A Seller’s Option
transaction gives the
seller the right to
deliver the security at
any time within a
specific period,
ranging from not less
than two calendar days,
to not more than sixty
calendar days. A
security offered
“Seller’s Option” may
1
00000000 00000000 00000000 00000010
2
00000000 00000000 00000000 00000100
3
00000000 00000000 00000000 00001000
tNextDay
tSeller
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8
Flags
Description
BIT
mask
position
BIT mask
command a lesser price
than if offered
“Regular Way”.
tYellowFlag
tIntermarketSweep
tOpeningPrints
tClosingPrints
tReOpeningPrints
Market Centers will
have the ability to
identify regular trades
being reported during
specific events as out
of the ordinary by
appending a new sale
condition code Yellow
Flag (“Y”) on each
transaction reported to
the UTP SIP. The new
sale condition “.Y”
will be eligible to
update all market
center and consolidated
statistics.
4
00000000 00000000 00000000 00010000
Reason for Trade-Through Exemption
The transaction that
5
00000000 00000000 00000000 00100000
constituted the tradethrough was the
execution of an order
identified as an
Intermarket Sweep
Order.
The trade that
6
00000000 00000000 00000000 01000000
constituted the tradethrough was a single
priced opening
transaction by the
Market Center.
The transaction that
7
00000000 00000000 00000000 10000000
constituted the tradethrough was a single
priced closing
transaction by the
Market Center.
The trade that
8
00000000 00000000 00000001 00000000
constituted the tradethrough was a single
priced reopening
transaction by the
Market Center.
Copyright 2017 AlgoSeek, LLC. All rights reserved.
9
Flags
tDerivativelyPriced
tFormT
tSold
tStopped
Description
BIT
mask
position
BIT mask
The transaction that
9
00000000 00000000 00000010 00000000
constituted the tradethrough was the
execution of an order
at a price that was not
based, directly or
indirectly, on the
quoted price of the
security at the time of
execution, and for
which the material
terms were not
reasonably
determinable at the
time the commitment
to execute the order
was made.
Extended Hours/ Sequence Type
Trading in extended
10
00000000 00000000 00000100 00000000
hours enables investors
to react quickly to
events that typically
occur outside regular
market hours, such as
earnings reports.
However, liquidity
may be constrained
during such Form T
trading, resulting in
wide bid-ask spreads.
Sold Last is used when
11
00000000 00000000 00001000 00000000
a trade prints in
sequence but is
reported late or printed
in conformance to the
One or Two Point
Rule.
The transaction that
12
00000000 00000000 00010000 00000000
constituted the tradethrough was the
execution by a trading
center of an order for
which, at the time of
receipt of the order, the
trading center had
guaranteed an
Copyright 2017 AlgoSeek, LLC. All rights reserved.
10
Flags
tExtendedHours
tOutOfSequence
tSplit
Description
BIT
mask
position
execution at no worse
than a specified price
(a “stopped order”),
where: (i) The stopped
order was for the
account of a
customer;(ii) The
customer agreed to the
specified price on an
order-by-order
basis; and (iii) The
price of the tradethrough transaction
was for a stopped buy
order lower than the
National Best Bid in
the security at the
time of execution, or
for a stopped sell order
higher than the
National Best Offer in
the security at the time
of execution.
Identifies a trade that
13
was executed outside
of regular primary
market hours and is
reported as an
extended hours trade.
Identifies a trade that
14
takes place outside of
regular market hours.
Other Types
An execution in two
15
markets when the
specialist or Market
Maker in the market
first receiving the order
agrees to execute a
portion of it at
whatever price is
realized in another
market to which the
balance of the order is
forwarded for
execution.
BIT mask
00000000 00000000 00100000 00000000
00000000 00000000 01000000 00000000
00000000 00000000 10000000 00000000
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11
Flags
tAcquisition
tBunched
tStockOption
tDistribution
tAveragePrice
tCross
tPriceVariation
Description
BIT
mask
position
BIT mask
A transaction made on
the Exchange as a
result of an Exchange
acquisition.
A trade representing an
aggregate of two or
more regular trades in
a security occurring at
the same price either
simultaneously or
within the same 60second period, with no
individual trade
exceeding 10,000
shares.
Stock-Option Trade is
used to identify cash
equity transactions
which are related to
options transactions
and therefore
potentially subject to
cancellation if market
conditions of the
options leg(s) prevent
the execution of the
stock-option order at
the price agreed upon.
Sale of a large block of
stock in such a manner
that the price is not
adversely affected.
16
00000000 00000001 00000000 00000000
17
00000000 00000010 00000000 00000000
18
00000000 00000100 00000000 00000000
19
00000000 00001000 00000000 00000000
A trade where the price
reported is based upon
an average of the
prices for transactions
in a security during all
or any portion of the
trading day.
Indicates that the trade
resulted from a Market
Center’s crossing
session.
Indicates a regular
market session trade
transaction that carries
20
00000000 00010000 00000000 00000000
21
00000000 00100000 00000000 00000000
22
00000000 01000000 00000000 00000000
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Flags
tRule155
tOfficialClose
tPriorReferencePrice
tOfficialOpen
Description
a price that is
significantly away
from the prevailing
consolidated or
primary market value
at the time of the
transaction.
To qualify as a NYSE
AMEX Rule 155, from
time to time, a
specialist may
arrange for the sale, or
purchase, of a block of
security, or other large
number of shares of
securities, at a single
“clean-up” price.
Generally such a sale
or purchase is outside
of the current market.
Such sale or trade is
designated as a Rule
155 trade.
Indicates the ‘Official’
closing value as
determined by a
Market Center. This
transaction report will
contain the market
center generated
closing price.
A sale condition that
identifies a trade based
on a price at a prior
point in time, i.e. more
than 90 seconds prior
to the time of the trade
report. The execution
time of the trade will
be the time of the prior
reference price.
Indicates the ‘Official’
closing value as
determined by a
Market Center.
This transaction report
will contain the market
BIT
mask
position
BIT mask
23
00000000 10000000 00000000 00000000
24
00000001 00000000 00000000 00000000
25
00000010 00000000 00000000 00000000
26
00000100 00000000 00000000 00000000
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13
Flags
tCapElection
tAutoExecution
tTradeThroughExempt
tOddLot
Description
center generated
closing price.
The CAP Election
Trade highlights sales
as a result of a sweep
execution on the
NYSE, whereby CAP
orders have been
elected and executed
outside the best price
bid or offer and the
orders appear as
"repeat" trades at
subsequent execution
prices. This indicator
provides additional
information to market
participants that an
automatic sweep
transaction has
occurred with repeat
trades as one
continuous electronic
transaction.
A sale condition code
that identifies a NYSE
trade that has been
automatically executed
without the potential
benefit of price
improvement.
Denotes whether or not
a trade is exempt (Rule
611) and when used
jointly with
certain Sale
Conditions, will more
fully describe the
characteristics of a
particular trade.
Denotes the trade is an
odd lot less than a 100
shares.
BIT
mask
position
BIT mask
27
00001000 00000000 00000000 00000000
28
00010000 00000000 00000000 00000000
29
00100000 00000000 00000000 00000000
31
10000000 00000000 00000000 00000000
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14
QUOTE CONDITION FLAGS
Flags
qRegular
qSlow
qGap
Description
BIT
mask
position
BIT mask
This condition is
used for the
majority of quotes
to indicate a normal
trading
environment. It is
also used by the
FINRA Market
Makers in place of
Quote Condition
“O” to indicate the
first quote of the
day for a particular
security. The
condition may also
be used when a
Market Maker reopens a security
during the day.
This condition is
used to indicate
that the quote is a
Slow Quote on
both the Bid and
Offer sides due to a
Set Slow List that
includes High Price
securities. While in
this mode, autoexecution is not
eligible, the quote
is then considered
Slow on the Bid
and Offer sides,
and either or both
sides can be traded
through as per
Regulation NMS.
While in this mode,
auto-execution is
not eligible, the
quote is then
considered manual
and non-firm in the
Bid and Offer and
0
00000000 00000000 00000000 00000001
1
00000000 00000000 00000000 00000010
2
00000000 00000000 00000000 00000100
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15
Flags
Description
qClosing
qNewsDissemination
qNewsPending
qTradingRangeIndication
either or both sides
can be traded
through as per
Regulation NMS.
This condition can
be disseminated to
indicate that this
quote was the last
quote for a security
for that Participant.
This regulatory
Opening Delay or
Trading Halt is
used when relevant
news influencing
the security is
being disseminated.
Trading is
suspended until the
primary market
determines that an
adequate
publication or
disclosure of
information has
occurred.
This condition is
used to indicate a
regulatory Opening
Delay or Trading
Halt due to an
expected news
announcement,
which may
influence the
security. An
Opening Delay or
Trading Halt may
be continued once
the news has been
disseminated.
The condition is
used to denote the
probable trading
range (bid and offer
prices, no sizes) of
a security that is
BIT
mask
position
BIT mask
3
00000000 00000000 00000000 00001000
4
00000000 00000000 00000000 00010000
5
00000000 00000000 00000000 00100000
6
00000000 00000000 00000000 01000000
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16
Flags
Description
qOrderImbalance
qClosedMarketMaker
qVolatilityTradingPause
qNonFirmQuote
qOpeningQuote
not Opening
Delayed or Trading
Halted. The
Trading Range
Indication is used
prior to or after the
opening of a
security.
This non-regulatory
Opening Delay or
Trading Halt is
used when there is
a significant
imbalance of buy
or sell orders.
This condition is
disseminated by
each individual
FINRA Market
Maker to signify
either the last quote
of the day or the
premature close of
an individual
Market Maker for
the day.
This quote
condition indicates
a regulatory
Opening Delay or
Trading Halt due to
conditions in which
a security
experiences a 10%
or more change in
price over a five
minute period.
This quote
condition suspends
a Participant's firm
quote obligation for
a quote for a
security.
This condition can
be disseminated to
indicate that this
quote was the
BIT
mask
position
BIT mask
7
00000000 00000000 00000000 10000000
8
00000000 00000000 00000001 00000000
9
00000000 00000000 00000010 00000000
10
00000000 00000000 00000100 00000000
11
00000000 00000000 00001000 00000000
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17
Flags
Description
qDueToRelatedSecurity
qResume
opening quote for a
security for that
Participant.
This non-regulatory
Opening Delay or
Trading Halt is
used when events
relating to one
security will
affect the price and
performance of
another related
security (e.g., a call
for redemption of a
convertible
preferred security
or convertible debt
security which
could affect the
related common
security). This nonregulatory Opening
Delay or Trading
Halt is also used
when nonregulatory halt
reasons such as
Order Imbalance,
Order Influx and
Equipment
Changeover are
combined with Due
to Related Security
on CTS.
This quote
condition along
with zero-filled bid,
offer and size fields
is used to indicate
that trading for a
Participant is no
longer suspended in
a security which
had been Opening
Delayed or Trading
Halted.
BIT
mask
position
BIT mask
12
00000000 00000000 00010000 00000000
13
00000000 00000000 00100000 00000000
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18
Flags
qInViewOfCommon
qEquipmentChangeover
qSubPennyTrading
Description
BIT
mask
position
BIT mask
This quote
condition is used
when matters
affecting the
common stock of a
company affect the
performance of the
non-common
associated
securities, e.g.,
warrants, rights,
preferred, classes,
etc. Those
securities, which
must be of the same
company, are
globally Opening
Delayed, Trading
Halted, or No
Open/No Resume
for a Participant in
view of the
common stock.
This non-regulatory
Opening Delay or
Trading Halt is
used when the
ability to trade a
security by a
Participant is
temporarily
inhibited due to a
systems, equipment
or communications
facility problem or
for other technical
reasons.
This non-regulatory
Opening Delay or
Trading Halt is
used to indicate an
Opening Delay or
Trading Halt for a
security whose
price may fall
below $1.05,
possibly leading to
14
00000000 00000000 01000000 00000000
15
00000000 00000000 10000000 00000000
16
00000000 00000001 00000000 00000000
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19
Flags
Description
qNoOpenNoResume
qLimitUpLimitDownPrice
Band
qRepublishedLimitUpLimi
tDownPriceBand
qManual
qFastTrading
a sub-penny
execution.
This quote
condition is used to
indicate that an
Opening Delay or a
Trading Halt is to
be in effect for the
rest of the trading
day in a security for
a Participant.
This quote
condition is used to
indicate that a
Limit Up-Limit
Down Price Band
is applicable for a
security.
This quote
condition is used to
indicate that a
Limit Up-Limit
Down Price Band
that is being
disseminated is a
‘republication’ of
the latest Price
Band for a security.
BIT
mask
position
BIT mask
17
00000000 00000010 00000000 00000000
18
00000000 00000100 00000000 00000000
19
00000000 00001000 00000000 00000000
NASDAQ Specific
00000000 00010000 00000000 00000000
20
This indicates that the
market participant is
in a manual mode on
both the Bid and Ask.
While in this mode,
automated execution
is not eligible on the
Bid and Ask side and
can be traded through
pursuant to
Regulation NMS
requirements.
For extremely active
periods of short
duration. While in
this mode, the UTP
participant will enter
21
00000000 00100000 00000000 00000000
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20
Flags
qOrderInflux
Description
quotations on a “best
efforts” basis.
A halt condition used
when there is a
sudden order influx.
To prevent a
disorderly market,
trading is temporarily
suspended by the
UTP participant.
BIT
mask
position
22
BIT mask
00000000 01000000 00000000 00000000
Copyright 2017 AlgoSeek, LLC. All rights reserved.
21
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