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The volatility in the indices long ago was similar in magnitude to what it is today. The problem you are seeing in your plots is one of compounding and scaling. Think of it this way- back in the mid 70's the magnitude of NASDAQ pricing was around \$100. Today it is on the order of \$4000, a change of 40x. In linear terms, a 1% change in the index today ...


Actually, the first half of the 70s were very volatile. The latter half was more steady. Aside from a quick recession, the first half of the 90s was very calm, but the last half definitely was not. As others have suggested, this become apparent upon inspection of a geometrically scaled price axis. The reasons definitely have nothing to do with electronic ...


To construct best bid/ask from ITCH you must build a book incrementally from the messages in the data. Every message, except for system oriented messages, and non-displayed Trades, represent an order or an action on an order. Process the data, build a book, and you will naturally be left with the best bid/ask at the top of each side.


I was able to identify significant participants by order size on CME exchange. I think ITCH is even more informative that CME's data format. The trick is to learn very closely the incremental data and the order in which this data arrives. We can assume that exchange's Matching Engine and its market data distribution algorithm are programmed machines, ...

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