that no trades get reported to the tape after 7:30 pm? I will call NYSE on Monday, but am a bit impatient and was wondering if any of you guys know this. Thanks. PS It sure seems true given what I've seen. In two year's worth of TAQ data, for all OTC stocks, not a single print after 7pm (or before 7:30a.m.)
I'm not 100% sure, but I think you are correct. On rare occasions I have made trades that late, and I couldn't find them anywhere outside of my execution reports.
Thanks, Toonces. Yep, I too often execute a few orders here and there in very late/early extended hours and see nothing on the T/S. But this time the data vendor is different and I wasn't sure if it's a universal thing. I'll have to check on this with NYSE to be 100% sure b/c it matters a bit for the inferences I make from the data. Thanks again. V.
Post your findings, cuz I've always been curious about that myself. Are you checking on Nasdaq too, or just NYSE?
From what I can remember from the series 55 test, trades executed after a certain time (I thought it was 6:00 pm) are reported on the next day's tape.
I'm working with Nasdaq stocks in this project only. The reason for calling NYSE is b/c the data is from them (NYSE Trade and Quote database that they complile). I'll post what they say. V.
Now that you mentioned that, I do remember hearing smth similar from the CRSP (center for research in security prices out of University of Chicago) about it. I guess I'll wait till tomorrow...
From what I've been reading thus far today, the consolidated tape hours are 8am through 6:30pm. Although in at least two places I have seen 6:35pm In several places, I saw that the NYSE TAQ dataset is only supposed to have trades from 8am till 630pm. Hmmm. Why do I then find some that are before/after those times? Not many but still (and that's of course ignoring the erroneous prints etc, these are legit)...
OK, here's an update for those who may be interested. After some bugging, NYSE did finally figure out that the Consolidated Tape now operates until 8pm to accomodate Arca. Still, they keep insisting that the opening bound is 8am and requested a few examples of the prints I find in their data set before 8am. I gladly sent those over. I'm waiting to hear what they say as far as how these ended up on the tape. Here are some examples: JDSU 07/02/2001 T 7:36:17 13.00000000 2000 T 0 0 0 BEAS 07/02/2001 T 7:39:43 31.00000000 300 T 0 0 0 BEAS 07/02/2001 T 7:39:45 31.00000000 1000 T 0 0 0 BMRN 07/02/2001 T 7:42:12 13.20000000 2600 T 0 0 0 SEBL 07/02/2001 T 7:45:35 48.56000000 800 T 0 0 0 SEBL 07/02/2001 T 7:45:36 48.60000000 100 T 0 0 0 SEBL 07/02/2001 T 7:45:36 48.60000000 100 T 0 0 0 INTC 07/02/2001 T 7:48:53 29.70000000 100 T 0 0 0 INTC 07/02/2001 T 7:52:02 29.70000000 1000 T 0 0 0 INTC 07/02/2001 T 7:53:13 29.70000000 1000 T 0 0 0 INTC 07/02/2001 T 7:58:43 29.60000000 100 T 0 0 0 AMAT 07/02/2001 T 7:49:32 50.67000000 500 T 0 0 0 TLAB 07/02/2001 T 7:54:56 19.05000000 500 T 0 0 0 BRCM 07/02/2001 T 7:56:18 43.00000000 1000 T 0 0 0 VTSS 07/02/2001 T 7:56:51 20.75000000 400 T 0 0 0 LLTC 07/02/2001 T 7:57:16 45.55000000 300 T 0 0 0 MSFT 07/02/2001 T 7:57:41 72.00000000 100 T 0 0 0 CIEN 07/02/2001 T 7:57:59 38.25000000 200 T 0 0 0 CIEN 07/02/2001 T 7:57:59 38.25000000 100 T 0 0 0 CIEN 07/02/2001 T 7:58:00 38.25000000 100 T 0 0 0 CIEN 07/02/2001 T 7:58:00 38.25000000 100 T 0 0 0 CIEN 07/02/2001 T 7:58:00 38.25000000 100 T 0 0 0 CIEN 07/02/2001 T 7:58:00 38.25000000 100 T 0 0 0 CIEN 07/02/2001 T 7:58:00 38.25000000 100 T 0 0 0 CIEN 07/02/2001 T 7:58:03 38.25000000 200 T 0 0 0 TQNT 07/02/2001 T 7:59:05 21.50000000 300 T 0 0 0