I am looking at one day of AAPL quotes (3 Dec 2012) from TAQ to examine quote-based high frequency vol estimators. However, I found that a number of exchanges, when quoting noncompetitively, seem to display persistent values that I cannot seem to justify (i.e. the levels are so far that I can't imagine they correspond to any regulation-based requirement). Can anyone reconcile this?
The red vertical lines represent open and close.
where
A = American Stock Exchange
B = Boston Stock Exchange
C = National (Cincinnati) Stock Exchange
D = NASD (ADF)
E = Market Independent (SIP - Generated)
I = ISE
M = Chicago Stock Exchange
N = NYSE
P = NYSE Arca
T/Q= NASDAQ Stock Exchange
S = Consolidated Tape System
W = CBOE
Z = BATS
J = DirectEdge A
K = DirectEdge X
X = NASDAQ OMX PSX
Y = BATS Y-Exchange Inc.