What’s Not There: The Odd-Lot Bias in TAQ Data by Maureen O’Hara, Chen Yao, and, Mao Ye.
Abstract:
We investigate the systematic bias that arises from the exclusion of trades for less than 100 shares from TAQ data. In our sample, we find that the median number of missing trades per stock is 19%, but for some stocks missing trades are as high as 66% of total transactions. Missing trades are more pervasive for stocks with higher prices, lower liquidity, higher levels of information asymmetry and when volatility is low. We show that odd lot trades contribute 30 % of price discovery and trades of 100 shares contribute another 50%, consistent with informed traders splitting orders into odd-lots and smaller trade sizes. The truncation of odd-lot trades leads to a significant bias for empirical measures such as order imbalance, challenges the literature using trade size to proxy individual trades, and biases measures of individual sentiment. Because odd-lot trades are more likely to arise from high frequency traders, we argue their exclusion from TAQ and the consolidated tape raises important regulatory issues.
TAQ = Trade and Quote Detail.
Amazing what you can find if you go looking for it. O’Hara and friends find that missing trades can be as much as 66% of the total transactions for some stocks.
The really big news is that from this academic paper, US regulators required disclosure of this hidden data starting on December 9, 2013
For access, see the Daily TAQ, where you will find the raw data for $1,500 per year for one user.
Despite its importance to the public, I don’t know of any time-delayed public archive of trade data.
Format specifications and sample data are available for:
- Daily Trades File: Every trade reported to the consolidated tape, from all CTA participants. Each trade identifies the time, exchange, security, volume, price, sale condition, and more.
- Daily TAQ Master File (Beta): (specification only)
- Daily TAQ Master File: All master securities information in NYSE-listed and non-listed stocks, including Primary Exchange Indicator
- Daily Quote and Trade Admin Message File: All Limit-up/Limit-down Price Band messages published on the CTA and UTP trade and quote feeds. The LULD trial is scheduled to go live with phase 1 on April 8, 2013.
- Daily NBBO File: An addendum to the Daily Quotes file, containing continuous National Best Bid and Offer updates and consolidated trades and quotes for all listed and non-listed issues.
- Daily Quotes File: Every quote reported to the consolidated tape, from all CTA participants. Each quote identifies the time, exchange, security, bid/ask volumes, bid/ask prices, NBBO indicator, and more.
Merging financial data with other data, property transactions/ownership, marriage/divorce, and other activities are a topic map activity.