Second, from the millisecond Daily Trades and Quotes (DTAQ
) database we use quotes across all exchanges to calculate the National Best Bid and Best Offer (NBBO) in order to construct liquidity measurements, such as quoted spreads and price impact.
These included Meltzer Mandl Architects, Polshek Partnership (now Ennead Architects), DTAQ
Architects, and Loci Architecture.
The defense technology and Quality (DTAQ) has the responsibility to evaluate the defense offset technology valuation in ROK.
He is an ROK Army Major on Active Duty and has been working for a defense offset program manager in the Defense Technology and Quality (DTAQ) in Seoul since 2006.
He is a Senior Researcher and has been working for a defense offset program manager in the Defense Technology and Quality (DTAQ) in Seoul since 2006.
Our data are from the Daily Trade and Quote (DTAQ) data set, which unlike the Monthly Trade and Quote (MTAQ) data set used extensively in microstructure studies, is time stamped to the millisecond and also contains the exchange calculated NBBO Quote.
The DTAQ data set provides trades and quotes in separate files.
We recognize that trading intensity may change throughout the trading day, possibly impacting the latency of the Securities Industry Automation Corporation (SIAC) computer system that generates the DTAQ database.
Next, we evaluate the impact of Benchmark Events for all securities (common stocks, Exchange Traded Funds, Real Estate Investment Trusts, and preferred stock) in the DTAQ database, from all listing exchanges, with a closing price over $5 each day for the week of March 24, 2008.
As the Benchmark Quote look back time is decreased, we drop trades that occur at prices inferior to the Benchmark Quote as these trades would be rerouted to exchanges quoting at the NBBO Quote and would not be executed at the higher price contained in the DTAQ record.