I see the W (3 trade) on TMX. It does not show on
Post# of 5949
Posted On: 07/29/2014 12:21:24 PM
I see the W (3 trade) on TMX. It does not show on TDA.
"Modify the existing Average Price ("W"
modifier: Within the UTP Trade Data Feed (UTDF) specifications, an Average Price Trade is defined as a trade where the price reported is based upon an average of the prices for transactions in a security during all or any portion of the trading day.
Under the current UTDF processing rules, a “W” transaction would impact the market center high, low, or last sale prices if the trade was the first eligible transaction reported. Since “W” trades, by definition, reflect other transaction prices, it is improper for this sale condition modifier to update high, low, or last price under any circumstances. As such, the processing rules for the “W” modifer will be revised to only update volume.
In addition, as part of this release, the "W" sale condition will be used to identify stopped stock transactions for the NASDAQ Market Center."
....
"2. Average Price Account Identifiers
Broker-dealers often use "average price accounts" as a mechanism to buy or sell large amounts of a given security for their customers. Under this arrangement, a broker-dealer's average price account may buy or sell a security in small increments throughout a trading session, and then transfer the accumulated long or short position to one or more accounts for an average price or volume-weighted average price after the market close."
http://www.sec.gov/rules/final/34-44494.htm
"Modify the existing Average Price ("W"
modifier: Within the UTP Trade Data Feed (UTDF) specifications, an Average Price Trade is defined as a trade where the price reported is based upon an average of the prices for transactions in a security during all or any portion of the trading day. Under the current UTDF processing rules, a “W” transaction would impact the market center high, low, or last sale prices if the trade was the first eligible transaction reported. Since “W” trades, by definition, reflect other transaction prices, it is improper for this sale condition modifier to update high, low, or last price under any circumstances. As such, the processing rules for the “W” modifer will be revised to only update volume.
In addition, as part of this release, the "W" sale condition will be used to identify stopped stock transactions for the NASDAQ Market Center."
....
"2. Average Price Account Identifiers
Broker-dealers often use "average price accounts" as a mechanism to buy or sell large amounts of a given security for their customers. Under this arrangement, a broker-dealer's average price account may buy or sell a security in small increments throughout a trading session, and then transfer the accumulated long or short position to one or more accounts for an average price or volume-weighted average price after the market close."
http://www.sec.gov/rules/final/34-44494.htm
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