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.