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3

Time and sales shows trades, not orders. You are most likely seeing off exchange block trades being matched in dark pools and other block crossing venues and reported to FINRAs TRF.


2

No. 10 shares from Order1 have time priority. The 100 shares of Order2 will trader after 10 from Order1. The 90 hidden shares of Order1 are hidden, and therefore at the back of the queue. When they light, they get in line at the back.


1

Possibly you might be able to first estimate the bid-ask spread from execution prices, using the method of Roll (1984), and then adjust the volatility for this. Essentially the bid-ask bounce adds to the underlying volatility, so knowing an estimate of the b/a and the apparent volatility, the underlying volatility could be recovered by subtraction. ...


1

Three possible explanations, 1) From a recent PhD thesis, this could be part of an aggressive HFT strategy that tests how the market reacts to such large orders. See Adam Clark-Joseph's exploratory trading paper. 2) If the order is in a Large Cap Stock or liquid ETFs, it could be a large fund filling a block trade. Think about it if your a fund manager, if ...


1

It depends on the smart order router that you've chosen. Generally no. However in your example it appears that you are referring to passive execution on both ends, and there are smart order routers that preference the highest rebate, in which case you might find high correlation - note this doesn't mean that the venue where the entry leg is executed causes ...


1

It can be a couple things depending on what you are looking at: If you are looking at a single exchange's feed, it can be a Trade Message that isn't linked to any individual order ID. These can be things like block orders or off exchange orders that get reported to them. I usually ignore Trade messages when looking at intraday data. These are different from ...


1

Having locked markets is bad in the sense it freezes the price formation process. Ideally we would like to have a price on as much instruments as possible so that we know their value. it prevent investors to buy (or sell) it and thus adds frictions, transaction costs, etc. We would like to enable investors to buy or sell when they need/want, to let the ...


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The adopting release of Reg NMS http://www.sec.gov/rules/final/34-51808.pdf discusses the problem(s) they were looking to solve. That will provide the SEC's thought process.



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