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

This document describes the logic used by Tick Data Inc. to derive a National Best
Bid and Offer (NBBO). The intention of the NBBO is to show the “prevailing” market
for U.S. equities disseminated on the Consolidated Quotation System (CQS).

The CQS is processed by the Securities Industry Automation Corporation (SIAC) and published by NYX Data. The Quote data published by NYX Data is Level I data by exchange and does not represent an actual NBBO. This document also describes the building of Quote Bars because Quote Bars are derived from the NBBO data.



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