Order ID or Broker information from TAQ or Limit Order book?
Order ID or Broker information from TAQ or Limit Order book?
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Agrima Bahl · External communityPost link
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Author: Agrima Bahl
Original post: https://quant.stackexchange.com/questions/21620
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Is it possible to see if a big order was executed in smaller chunks, and at what prices and times?
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madilyn · External communityPost link
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Author: madilyn
Original post: https://quant.stackexchange.com/a/21621
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No, it is not possible. Order IDs are not created in any particular pattern that associate it to the specific party. On the other hand, while one can attribute a market participant ID (MPID), many participants use the same broker so the details are abstracted away.
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Sander Schwenk-Nebbe · External communityPost link
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Author: Sander Schwenk-Nebbe
Original post: https://quant.stackexchange.com/a/69433
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This is now partly possible, particularly with accurate nanosecond matching engine timestamps (microseconds can also be sufficient) that are now available in NYSE TAQ data and similar data products. These were previously only available in proprietary data (which you may or may not have access to).
Essentially, both the trades and quote updates triggered in execution of a marketable order are assigned
exactly the same timestamp
by an exchange's matching engine. See
this blog post
and
this research article
(disclaimer: I wrote the article).
You cannot use this to trace a large order that is executed
over time
in smaller parts, but you can use this information
to get the actual size of a marketable order
that is executed against multiple passive (resting) orders. This happens very frequently. For instance, on Nasdaq, the majority (>50%) of trades reported in TAQ are only parts of larger marketable order executions.
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