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In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf.

https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x

in the section dedicated to data cleaning the authors suggest:

Retain entries originating from a single exchange (NYSE in our application).
Delete other entries.

It is related to both Trades and Quotes data.

Why shouldn't we consider the data from other exchanges?

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    $\begingroup$ hi: tickdata is very messy to deal with ( many things can happen such as cancellations, timestamps of the ticks can be weird etc ) so, by restricting their analysis to the ticks of one exchange, the messy-ness of the tick data decreases. but it's still messy. most likely they are talking about trades because quotes, as far as my experience goes, are less messy. but for the same reason, they may be talking about quotes also ? $\endgroup$
    – mark leeds
    Commented Jan 30, 2020 at 14:49

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The authors explain the reason later:

It is used to reduce the impact of time‐delays in the reporting of trades and quote updates.

Because of the speed of light, the timestamps of data from external exchanges will have a different meaning from the timestamps of NYSE's own data. For example, a price update on NASDAQ will occur a few milliseconds before NYSE observes it.

The authors go on to consider modeling on one exchange vs all exchanges. Since NYSE's volume alone is less than all other exchanges' volume combined, it makes sense to consider the aggregate. Researchers will have to weigh the ease of one exchange vs the fuller picture that comes from all exchanges.

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  • $\begingroup$ Thank you. Looking at it again, I now get what you meant. $\endgroup$
    – Richard Hardy
    Commented Oct 2, 2023 at 6:15

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