175x Filetype PPTX File size 0.19 MB Source: www.memphis.edu
TotalView-ITCH Intraday trades and quotes • Nasdaq only • All securities • Time stamped to nanosecond • Unique order ID • Number of shares and price TotalView-ITCH Can build the limit order book because ITCH includes: • Unique order ID • Number of shares and price • Message types: B—Add buy order S—Add sell order E—Execute outstanding order in part C—Cancel outstanding order in part F—Execute outstanding order in full D—Delete outstanding order in full X—Bulk volume for the cross event T—Execute non-displayed order Nikkei Economic Electronic Databank System (NEEDS) All listings on the Tokyo Stock Exchange (and several minor exchanges) Includes: • Trades—price and number of shares • Quotes (bid and ask)—price and number of shares • Various codes: • Special quotes • Continuous or batch trading
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