Quantitative Finance Asked by dirtside on January 23, 2021
Let’s say there’s a sample stock, XYZ, that trades on NYSE (or maybe NASDAQ). I can look at the historical data for it (from any number of websites) to see its volume and OHLC data for any given time period, down to the individual minute.
But what I want to see is a list of all the trades that actually occurred during that minute, with the price and quantity of each one, and possibly even which broker/market maker was involved with the trade. Presumably the exchanges themselves have a detailed record of every trade they’ve ever executed, but I imagine they don’t provide this information to the public (or at least not to retail investors like me). (I’ve been led to believe that sometimes trades are executed within a broker if the broker has two clients whose orders match up, and such trades never actually go to the exchange.)
I know order books are a thing, but it’s my understanding that they only show pending orders, not a list of completed transactions.
It sounds like your best bet is to get data from the consolidated tape system. Tape A covers NYSE-listed securities; Tape B covers AMEX-listed securities; and, Tape C covers Nasdaq-listed securities. Tapes A and B are overseen by the Consolidated Tape Association; and, Tape C is overseen by the Nasdaq/Unlisted Trading Privileges Plan. Data from these three tapes is available in Daily TAQ.
Correct answer by kurtosis on January 23, 2021
No, the problem has to do with block trades. Imagine you place a day order to purchase 10,000 shares of ABC, limit 100.
Sellers come along offering 98.00x100, 99x100 100x100, 101x500, 102x1000 and all future prices are above 102.
Now, also imagine that your order was taken "off the tape," so that quotations continue properly. Your order was made up of 98 and 100. The tape, if all trades filled and ignoring the effect of the bid and ask, would be 99x100, 101x500,102x1000, and so forth. At some point, the dealer would report 99x200 later in the day. That is the weighted average of the trade. The tape would reflect the time of the report and not the time of the trade.
Historical trades are not reported in the chronological order they happened, nor by the parts that made up the trade, but instead, by the order in which they were reported at their weighted average. Also, if the open, high, or low were part of a block trade, then their value gets weighted and so the true high and true low may be different than the reported high or low.
Imagine the true low price was 7 but it was part of a block trade and the next highest trade was for 7.10 which was part of a round lot, then the "low" on the ticker would be 7.10 even though the true low was 7. I have paid less than the low and more than the high in trades before, but they were part of a block so they didn't get their own record.
Answered by Dave Harris on January 23, 2021
I've been led to believe that sometimes trades are executed within a broker if the broker has two clients whose orders match up, and such trades never actually go to the exchange.
If you are referring to crossed trades, the execution does indeed take place off exchange but it must be reported to the exchange.
But what I want to see is a list of all the trades that actually occurred during that minute, with the price and quantity of each one, and possibly even which broker/market maker was involved with the trade.
It's neither an elegant solution nor a complete one but my broker offers offers time and sales for as much as several years of trading. Capturing the data could require some skills because the amount of trades for one minute of an illiquid stock is quite different than that of an AAPL or GOOG. If this is part of a larger scale backtesting idea then this isn't viable. But for a specific one minute look/see, it's not only easy but it's free.
Answered by Bob Baerker on January 23, 2021
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