# Tag Info

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Most organized markets have intermediaries to match buyers and sellers who may arrive at different rates. These intermediaries are typically called market makers because they "make markets" by buying from people who want to sell and selling to people who want to buy. Since market makers take on risk to provide liquidity, they generally need to be ...

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I don't see this issue in Bloomberg, therefore I would assume it is just bad data in your source. Based on my snaps I suspect that your bid-ask is 15 min delayed. This stock is very active today, therefore I would be surprised if this is due to stale marks. Edit: in reply to your comment Below are simultaneous snaps from Bloomberg and Yahoo Finance at 20:...

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notice the size of the moves on your two stocks. The bid-offer is moving very fast but the last trade might of occured seconds ago. so its a stale price. you should only look at the bid-offer, thats what matter. last trade kind of meaningless.

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I reckon it's the $\frac{log(ASK)+log(BID)}{2}$, just simple arithmetic average as it makes sense, also considering logarithmic returns, when you can only take a differences from log prices. Also, the second alternative would yield negative 'prices' for spreads lower than 1, which cannot serve as a 'price' indicator.

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Assume that you collect only bid price. For some time period, you may find that bid price does not move while ask price does. In other words, if your purpose is collecting market movement, then by collecing just one of bid or ask would not generate data you want. Perhaps mid price would be better, or micro price to include some bidq and askq information. For ...

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As @babelproofreader mentioned, I recently blogged about the Roll model (see the original paper), which provides a very simple method for inferring the bid/ask spread based on trade prices. In short, you can estimate the cost using using the covariance: $c = \sqrt{\gamma_1}$. Where $\gamma_1$ is the $Cov(r_t, r_{t-1})$. (The R code is provided in my post). ...

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There are numerous examples of "market making" outside of finance a layman might relate better to. A "market" is simply a place that stands ready to make a buy/sell transaction on a product. In real life they are usually just called "dealers" and you often encounter them when you are visit a used car dealer, concert tickets scalpers or pawn shops. The price ...

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You are referring to the Penny Pilot Program. Only options whose premiums are quoted at a price less than \$3 may be eligible for penny increments, except for IWM, QQQ, and SPY, which are always quoted in pennies. The list of permitted classes doesn't seem to come from specific volume criteria. Instead, the SEC and the exchanges together roll-out names in ... 2 Check out Quandl's collection of intraday data from AlgoSeek: https://www.quandl.com/vendors/as These are historical trade-based minute bars showing OHLCV for stocks. If you click on each database in the link above, you'll see a tab for "Free Sample Data" to the left. For example: https://www.quandl.com/data/ASTRAN/documentation/free-sample-data Note ... 2 Sometimes in bloomberg in absense of data the holes might be filled. So the last, bid and ask may be the same item of data. Sometimes in market making you can have same bid/offer or even backwardation where the market makers cannot see each others prices (i.e. have restricted permission visibility) or cannot deal with each other for credit reasons or ... 2 This is a complex question. First of all, you need to know that orderbook manipulation is illegal. That being said, I can rephrase you question as: given an orderbook say a new sell order of size$Q_A$is inserted at the best ask and just after that a new buy order of size$Q_B\$ is inserted at the best bid how does it changes future price moves? This is ...

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If you define the mid price as the average of the best bid and best ask price the answer is no. If there are bids for 10 lots @ 10.00 and asks for 10 lots @ 10.10 markets orders smaller than 10 lots will not affect the mid price. The mid is 10.05 before and after. This also implies that no trade is necessary to change the price. If the best bid or ask ...

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Market convention is for a bid-offer on a package. For example, if you ask a dealer for the market on a 25d RR on EURUSD, the BID would be for the dealer to BUY the EUR Call and SELL the EUR Put; and the OFFER would be where they SELL you the EUR Call and BUY the EUR Put. Because you are buying a package, you would normally not have to cross the bid-ask on ...

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Kraken implements an order book mechanism to match buyers and sellers. You would need to dig into more details to know exactly what order was placed by the aggressor in this case (market order ? Limit order ?) as well as the people who got filled but to make it simple let’s assume the seller placed a market order and all the buyers at 0.3545 and below ...

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Intuitively, if there is 10x more depth at the bid than the ask, and trades arrive at (and are sized at) random, it is 10x more likely that the price will tick up than down. In practice, often trades do not arrive at random and in fact show strong directional auto-correlation. Moreover, the depth at the bid/ask are not static quantities, they are constantly ...

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Tick Data has some sample equity data with bid/ask. First go to the Tick Data equities web site: https://www.tickdata.com/equity-data/ Then find the Sample Data link.

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It depends on what are you going to use the IV for. Are you selling or buying? If doing both, taking volume/quote into account is sensible Extrapolate if doing only bid or only ask curve For deep ITM/OTM

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The data from hopey.netfonds is only data from the exchange. In this case all transactions you see there are NASDAQ quotations , hence the "O" after AAPL. It fails to provide transactions from other venues such as BATS etc. which is what free data providers usually use as Google finance

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Data set A does look like transactions, but I would hesitate to say that it is every transaction. You would need to investigate the data source and how transactions are defined. Data set B looks like BBO (best bid and offer). Data sets C and D are not estimations; they're aggregations to a higher periodicity. You need to investigate the data sources for ...

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