I am looking at NYSE sample TAQ Quote data for Apple stock (link at the bottom of the post) and I have noticed large discontinuities in the data intervals. For example, these two are two succesive quotes:
[Time (nanoseconds precision) | Exchange symbol | Stock | ... | Sequence Number | ...]
094208987952143|J|AAPL|...|1131087|...
094209180767665|K|AAPL|...|1131237|...
The time difference is in the order of hundreds of milliseconds and the sequence numbers are far apart. However, for a lot of quotes, the difference in time between succesive quotes is in the order of dozens of microseconds and the sequence numbers are successive numbers. For example, it can look like this:
094209274082928|Y|AAPL|...|1131276|...
094209274087908|Q|AAPL|...|1131277|...
1) Is there any reason behind this data irregularity?
Source: NYSE TAQ sample data available here ftp://ftp.nyxdata.com/Historical%20Data%20Samples/Daily%20TAQ%20Sample/
