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Quantitative Finance · Glossaire

Qu'est-ce que « Trade condition » ?

Definition 28.3 Markets I: The Ecosystem and Exchange-Traded Markets · Chapitre 28 — Reading Market Data

A trade condition (or sale condition) is a code attached to a trade report that says what kind of trade it was and how it may be used: a regular trade; an opening or closing auction print; an odd lot; a trade reported late or out of sequence; a trade at an average or derived price; a correction or a cancellation of an earlier report. The consolidated tapes and each exchange define which conditions update the last price, the high and low, and the volume.

Fifteen trade reports in one stock. The automatic filter removes two, the print at 10.01 and a cancelled trade that looks perfectly normal; the late report at 99.80 passes it. With all fifteen the volume-weighted average price is 98.40; the true figure is near 100. Data: the weekend problem.
Figure 28.2. Fifteen trade reports in one stock. The automatic filter removes two, the print at 10.01 and a cancelled trade that looks perfectly normal; the late report at 99.80 passes it. With all fifteen the volume-weighted average price is 98.40; the true figure is near 100. Data: the weekend problem.
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