How to Read Time and Sales Tape

Time and Sales are the actual transactions that are made between the exchange of stock  and price.

Time: Time of the Inside Quote Change and/or the Trade report. The time field corresponds to both the Quotes and Trades found in this report.


Inside Bid Market Center: The market (Exchange or Stock Market) that the Inside Bid originated from.

A = NYSE Amex
B = Boston
C = National Stock Exchnage
D = FINRA Alternative Display Facility (ADF)
I = International Securities Exchange
J = EDGA Exchange, Inc. (EDGA) (effective 12/14/2009) K = EDGX Exchange, Inc. (EDGX) (effective 12/14/2009) M= Chicago
N = NYSE (New York Stock Exchange)
P = NYSE/Arca
Q = NASDAQ
X = Philadelphia
Y = BATS Y-Exchange, Inc. (BYX) (effective 12/14/2009) 


Inside Bid: The best (highest) bid price.


Inside Quote Column: 

 

A = NYSE Amex
B = Boston
C = National Stock Exchnage
D = FINRA Alternative Display Facility (ADF)
I = International Securities Exchange
J = EDGA Exchange, Inc. (EDGA) (effective 12/14/2009) K = EDGX Exchange, Inc. (EDGX) (effective 12/14/2009) M= Chicago
N = NYSE (New York Stock Exchange)
P = NYSE/Arca
Q = NASDAQ
X = Philadelphia
Y = BATS Y-Exchange, Inc. (BYX) (effective 12/14/2009)


 Tick: The Direction of the Inside Bid relative to the previous Inside Bid.

U = Uptick (Bid increased from last inside bid price)
D = Downtick (Bid decreased from last inside bid price)

Inside Ask Market Center: The market (Exchange or Stock Market) from which the Inside Ask originated.

  • A = NYSE Amex
  • B = Boston
  • C = National Stock Exchange
  • D = FINRA Alternative Display Facility (ADF)
  • I = International Securities Exchange
  • J = EDGA Exchange, Inc. (EDGA) (effective 12/14/2009)
  • K = EDGX Exchange, Inc. (EDGX) (effective 12/14/2009)
  • M= Chicago
  • N = NYSE (New York Stock Exchange)
  • P = Pacific
  • Q = NASDAQ
  • X = Philadelphia
  • Y = BATS Y-Exchange, Inc. (BYX) (effective 12/14/2009)

O/C: Position Open/Closed and Market Value Codes:

  • A = EMC – Halt
  • B = EMC – Resume
  • O = Market Open
  • I = Start of Day
  • J = End of Day
  • C = Market Close 

Condition: A modifier representing additional information regarding the quote. Allowed values/text:

  • A - Depth on Ask side
  • B - Depth on Bid side
  • F - Fast trading
  • H - Depth on Bid and Ask
  • I - Order imbalance
  • L - Closed quote
  • N - Non-firm quote
  • O - Opening quote
  • R - Regular, two-sided open quote
  • S - Regular, one-sided open quote
  • Y- Regular, one-sided open quote
  • X - Order influx
  • Z – No Open/No Resume
  • Null - if no value provided

EMC – Halt –Emergency Market Halt
EMC – Resume – Emergency Market Resume Market Close – Market Close
Start Of Day – Start Of Day
End Of Day – End Of Day
Market Open – Market Open


L/X: Market Locked/Crossed

  • L = Market locked (Inside Bid = Inside Ask)
  • X = Market crossed (Inside Bid > Inside Ask)

Quote Source: Source of the inside quote change:

  • NULL: Not applicable
  • BEG-DAY: Start of day positions
  • MPQTE: Market Participant quote update
  • MMOPEN: Market Maker position open
  • MMCLOSE: Market Maker position close
  • WDRAW: Market Maker withdraw
  • QTEHALT: Quotations halted
  • RSUMQTE: Quotations resumed
  • TRDHALT: Trading halted
  • RSUMTRD: Trading resumed
  • IQPSTAT: Inside quotation processing status changes
  • MASMCHG: Mass Market Maker change
  • SOES0EX: SOES zero exposure
  • SSUSPD0: SOES suspend zero exposure
  • SUSPDC: SOES suspend no clearing
  • SMMP.W: SOES Market Participant self withdraw
  • SOESQTE: SOES quote refresh
  • PREOPEN: Pre-open spin
  • TIMEDEP: Time dependent market open/close
  • SODXSPR: Start-of-day excess spread
  • SIACBBO: SIAC Best Bid Offer quote
  • TMSALES: Time & Sales inside for OTCBB securities 

For a complete list, you can download Here.

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