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Direct MessagesDate/Time: Sun, 05 May 2024 19:59:17 +0000
Post From: Question about Nasdaq totalview
| [2022-02-27 15:20:05] |
| 1+1=10 - Posts: 270 |
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They don't provide market depth data for stocks, but indeed could be a solution for trades and volume.
Yes, the lack of market depth is an important caveat for Polygon. To add a bit of context, it should be understood that before the SEC passed Regulation NMS in 2005, an equity, say AAPL, could only be traded on its listed exchange, Nasdaq. However, since 2005 AAPL (and all other equities) trade separately at different exchanges simultaneously —- there’s over a dozen different exchanges/alternative trading systems. And every exchange has a different market depth for AAPL, with different trades occurring. To maintain order, all the separate exchanges send their trades and their best bid/ask depth levels occurring on AAPL to two separate Securities Information Processors (SIPs). The SIPs provide separate consolidated data feeds to market participants so everyone is aware of how much volume is occurring on AAPL across all exchanges and on which exchange APPL can be purchased/sold for the most favorable price. To learn more about this process I recommend: https://alpaca.markets/learn/understanding-stock-market-data/ The Nasdaq Totalview feed provides trades and market depth for AAPL occurring on only that exchange. The good news is that if you can have data for only one exchange this is the best one. In 2020 it provided 16% of trade volume, which was the most. (NYSE was 2nd at 10%). Also, it was the exchange whose best bid/ask was most likely to be the National best bid/ask across all exchanges meaning its market depth data is the most relevant — stats here: https://www.cboe.com/insights/posts/an-in-depth-view-into-us-equity-markets/ Date Time Of Last Edit: 2022-02-27 15:59:33
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