I show that a simple insight can immensely improve the quality of tick-by-tick trade and quote data of U.S. equities. The Participant Timestamp, available since 2015 in TAQ data, can be used as an active (marketable) order identifier.
I show that a simple insight can immensely improve the quality of tick-by-tick trade and quote data of U.S. equities. The Participant Timestamp, available since 2015 in TAQ data, can be used as an active (marketable) order identifier.