Deriving NBBO & Quote Bars from U.S. CQS Level I Quote Data

on August 17th, 2015

Developed with guidance from the NYSE, this paper details our methodology for deriving National Best Bid and Offer (NBBO) and building One-Minute Quote Bars from Level I quote data provided by the official U.S. equity quote reporting authority.

Category :

No description. Please update your profile.
Footer Banner
Questions? Contact Us