Does anyone know if the post-close crossing session trades get reported on the consolidated tape along with regular trades? Whould they also have the Form-T designator? Thanks a bunch in advance guys. PS These are typically executed at 5pm, right?
Perhaps I should give a little background, I'm working on a paper part of which uses post-close and pre-open trades from NYSE Transactions and Quotes dataset. I see a huge jump in average dollar size of trade in the 4:30pm-5pm window and also in 8am-8:30am window. I mean a factor of 3 to 8 or so. I remember smth about late night crosses being at different time points. Does anyone have a clue for why there might be such jumps in trade size? I have a couple of papers on crossing networks operations stuck somewhere among the tall piles, and in the worst case I guess I could dig those up. I just figured you guys might now. Thanks.
Just ran through a bunch of stocks and yes, they do seem to have crossing networks prints at close of the day price and those are reported as form T, no way to separate them from the rest Not good. PS This might explain the post close session trade size surges, but why also from 8am to 8:30??? Could it be b/c some ECNs open at 8am? The first chance to trade for most? Any ideas/suggestions?