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Definitions of market data terms and language.

Bad Tick
A bad tick is a tick which has bid, ask, last, and/or volume information which may be erroneous. These are sometimes accidentally reported by the exchanges due to software errors. Bad ticks are sometimes corrected by the exchange long after the initial report. QuantQuote does not do any filtering to remove bad ticks because in our view, it is better for client applications to decide how to handle bad ticks. Furthermore, at the instant the bad tick is received, there is no 100% foolproof method to know if the tick is indeed bad. What QuantQuote’s TickView feed and historical data DOES do is flag ticks our algorithms classifies as suspicious so they can be easily removed by customers if desired.

Refers to the practice of placing servers in QuantQuote’s datacenters for direct access to our data feeds without the added latency or bandwidth limits of transferring data over the internet.

Corporate Events
These are infrequent special events which can have large impacts on stock data. These include things like symbol changes, mergers and acquisitions, spin-offs, splits, and dividends. The QuantQuote database accounts for these and correctly maps companies when their ticker symbols change due to any of the above events.

End of day data. This data is received from the exchange at the end of the trading day and include all trades and quotes reported by the exchange during that trading day. It can be more comprehensive than data derived from a live feed. At QuantQuote, we use this to supplement and cross check data collected during the day.

A venue where securities are traded. Within US markets, there are many smaller venues other than the most well known NYSE and NASDAQ exchanges. These include exchanges like BATS, Boston Stock Exchange (BOSX), Direct Edge (EDGA,EDGX), and many others. QuantQuote data includes data from all US exchanges obligated to report activity.

National Best Bid and Offer (NBBO)
The highest bid and lowest ask for a security in all exchanges and market makers.

Order Management System (OMS)
An OMS is the central part of a trading platform that tracks current positions and live orders.

Out-of-Sequence Trades
Sometimes trades are reported late by exchanges. These out-of-sequence trades can be far from the prevailing market prices at the time they are reported. Because of this, QuantQuote minute and second resolution data is filtered to remove these trades to avoid skewing the low and high of each bar.

A bid and ask prices, with the associated sizes, reported by market centers. Please see documentation for full description.

Survivorship Bias
Our standard data packages are survivorship bias free meaning that they include symbols which are no longer part of the indexes due to bankruptcies, mergers, or acquisitions. This prevents the upwards skewing of backtest results from only including companies which survive until the end of the period.

Last traded price and size, reported by market centers, usually with an associated sale condition. Please see documentation for full description.

Trading Client
An application that communicates with brokerages or market centers over the FIX protocol. A trade client will submit orders to the brokerage or exchange (depending on type of access) and parse return messages such as execution reports or order reject reports.

Trading Halt
A temporary suspension in the trading of a particular security on one or more exchanges, usually in anticipation of a news announcement or to correct an order imbalance. A trading halt may also be imposed for purely regulatory reasons. During a trading halt, open orders may be canceled and options may be exercised.