Jhonathan Abreu
a565dfa6f0
* Wait for first session bar before filling equity market orders at open EquityFillModel.MarketFill could fill a market order placed right after market open using data from the previous trading date, because the first bar of the current session has not been emitted yet. ShouldWaitForFreshData only covered hour/daily resolutions, so minute/second orders filled on stale prices. Add IsWithinFirstResolutionSpanAfterMarketOpen: when the order time is within the lowest subscribed resolution span after the open and the price is stale, wait for the first bar instead of filling on the previous date's price. * Share opening-bar stale-fill wait across fill models Move IsWithinFirstResolutionSpanAfterMarketOpen to the base FillModel and add a ShouldWaitForFreshDataOnStale sibling helper that combines it with the existing coarse-resolution ShouldWaitForFreshData check. The base FillModel, FutureFillModel and EquityFillModel market fills now share this single wait decision at their stale-data guards. ShouldWaitForFreshData is intentionally left untouched at its GetMarketFillPrice call site, which uses it to choose the bar open vs current price and is not gated by staleness, so fill prices for finer resolutions are unchanged. The opening-bar helper is guarded against always-open markets, which have no session open to wait for. * Add regression algorithm for stale fill at market open Reproduces the opening-bar stale fill issue: a market order placed one second after the open while subscribed to minute resolution. Without the fix the order fills on the previous trading date's stale price; the algorithm asserts in OnOrderEvent that a fill never happens within the first minute after the open, so it errors without the fix and passes with it. Uses SPY minute data over 2013-10-07 to 2013-10-11, which is available in the repository Data folder. * Add unit tests for stale fill wait at market open Cover the opening-bar stale fill scenario directly at the fill model level: a market order placed within the first bar after the session open, while only the previous session's stale bar is available, must wait instead of filling on the stale price, and fills once the first session bar arrives. EquityFillModel also asserts the boundary (orders past the first bar still fill on stale data), and FutureFillModel covers the shared base helper from the future path. * Generalize stale market-order fill wait to any time of day Replace the market-open-specific wait with a generic check: a market order that would be filled on stale data waits for fresh data when the latest available data is more than one subscribed resolution bar behind the current time. This no longer considers the market open explicitly; it covers the opening bar (the first session bar has not been emitted yet) and any intraday data gap larger than the resolution. ShouldWaitForFreshDataOnStale now takes the latest data end time and the current time instead of the order time, and is shared by FillModel, FutureFillModel and EquityFillModel. Coarse resolutions (hour/daily) still always wait; tick never waits. Internal configurations are included when sizing the resolution bar. EquityFillModel's best-effort price helpers now report the stale data end time so the gap can be measured. Tests: EquityFillModelTests and FutureFillModelTests cover the market-open and mid-session stale cases (wait then fill on fresh data) plus the within-one-bar boundary (fill on stale). The regression algorithm is generalized to assert no fill happens on data staler than the resolution, with orders at the open and mid-session. Pre-existing plumbing/data-selection tests that used degenerate timestamps were given fresh timestamps so they still exercise their original intent. * Add sample data and adjust regression algorithms for stale-fill wait Add minute/daily sample data so market orders that now wait for fresh data can fill (ES futures gap days, TWX/GOOG equities and options, SPXW weeklies, GC futures/options copy for 2020-01-06). Adjust a few regression algorithms to the deferred-fill behavior: cap orders in the extended-market continuous future test, ignore daily-resolution SPY in the automatic-seed data checks, and refresh OptionAssignmentStatistics expected constants. * Update regression expected statistics for stale-fill wait Regenerate ExpectedStatistics, DataPoints and AlgorithmHistoryDataPoints for the regression algorithms affected by the wait-for-fresh-data fill change and the added sample data: futures/options fill-timing shifts, ES data-point count increases, and GOOG 2015-12-28 outcome changes. * Trim SPXW sample data to expiries within filter window The two SPXW algorithms filter with Expiration(0,7), so contracts expiring more than a week out are never subscribed. Drop those far-dated expiries from the 2021-01-06/08 minute files (760KB->108KB and 776KB->108KB on the quote files). Fills, DataPoints and statistics are unchanged; both regression tests still pass. * Trim ES minute and GOOG option sample data to order-fill minimum The ES minute gap-day files source no order fills (daily-resolution algos fill from es_daily); keep only the front contract used for execution and drop the unused back-month contracts. Trim the GOOG 2015-12-28 option file (no fill depends on it) to the morning chain window. Regenerate the back-month futures statistics affected by the dropped back-month bars. Full CSharp regression suite passes (722/722). * Use SMA gap threshold in BasicTemplateContinuousFuture for C#/Python parity At a fast/slow SMA cross the two averages can coincide to within rounding noise, where the C# (decimal) and Python (double) comparisons disagree, producing different orders between languages. Require a minimum gap before acting on a cross so both languages stay in lockstep, and update the shared expected statistics accordingly. * Mirror order cap in Python algorithm and update future history counts Apply the same pre-2013-11-12/3-order cap to the Python BasicTemplateContinuousFutureWithExtendedMarket algorithm for C#/Python parity, and update the QuantBook future-history expected counts to reflect the added ES sample data. * Use SMA gap threshold in BasicTemplateContinuousFutureWithExtendedMarket for C#/Python parity This algorithm had the same fast/slow SMA cross divergence already fixed in BasicTemplateContinuousFutureAlgorithm (ad8fc33): at the 2013-10-29 cross the two averages coincide to within rounding noise (C# decimal diff -1e-25, Python double diff exactly 0.0), so the raw `_fast > _slow` / `_fast < _slow` comparisons disagree between languages. C# fired a liquidate+rebuild that Python skipped, producing 5 orders in C# vs 3 in Python. Require a minimum 0.001 gap before acting on a cross so both languages stay in lockstep, and regenerate the shared expected statistics (Total Orders 5 -> 3). * Document SMA cross threshold as a C#/Python parity workaround Add a short note before the fast/slow SMA comparisons in both continuous-future template algorithms clarifying that the minimum-gap threshold exists only so the C# and Python versions take the exact same trades on the limited sample data in the repository, where decimal vs double rounding can disagree at a cross. * Fetch subscription configs once per equity market fill MarketFill resolved the subscription configs twice per fill: once via the best-effort price helpers (GetSubscribedTypes) and again via ShouldWaitForFreshDataOnStale. Fetch them once and thread them through both paths via optional parameters, leaving existing callers unchanged. * Measure stale-fill wait against order submission time ShouldWaitForFreshDataOnStale compared the latest data end time against the security current time. Compare against the order submission time instead so the decision to wait for fresh data reflects how stale the data is relative to when the order was placed. Realign the stale-price warning fill test accordingly. * Fix stale market data in SendingNewOrderFromOnOrderEvent test The market price tick was timestamped a day before the order submission time, so under the order-time staleness check the market orders waited for fresh data instead of filling. Use a reference time with the tick one minute before the order so the data is fresh and the orders fill. * Centralize internal-inclusive subscription config lookup in fill models ShouldWaitForFreshDataOnStale re-resolved the subscription configs through the ShouldWaitForFreshData call it makes first, and GetMarketFillPrice did the same. Thread the already-fetched configs through ShouldWaitForFreshData and GetMarketFillPrice so each market fill resolves them at most once. Add a GetSubscriptionDataConfigs(Security) helper on the base FillModel that returns the internal-inclusive configs, and route every fill-model call site through it to remove the duplicated lookup and repeated comment. * Avoid list allocation in ShouldWaitForFreshData Replace the Where(...).ToList() + All(...) with a single foreach over the subscription configs, short-circuiting on the first non-coarse resolution.
LEAN Data Formats / Equity
QuantConnect hosts US Equity Data (market 'USA') provided by AlgoSeek (trade and quote data from post-2007) and QuantQuote (trade data from pre-2007). Ticks are stored unfiltered. TradeBars and QuoteBars have suspicious ticks filtered out and the resulting ticks are consolidated and saved. QuantConnect has trade equity ticks as {YYYYMMDD}_trade.zip files, and quote equity ticks as {YYYYMMDD}_quote.zip.
The US equity data is in the New York timezone. Data timezones are found in the MarketHoursDatabase.json
Equity data supports the following Resolutions:
- Tick
- Second
- Minute
- Hour
- Daily
Minute, Second Data File Format
Minute, Second files are located in the equity / usa / resolution folders. The file name uses a 8-character length date: /data/equity/usa/minute/ticker/{YYYYMMDD}_{trade|quote}.zip. Note that only post-2007 period has quote data.
The zip file contains 1 CSV file which repeats the information about the path in the file name. e.g. 20140605_aapl_minute_trade.csv.
The trade CSV contents are as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 15300000 | 6448000 | 6448000 | 6448000 | 6448000 | 90 |
- Time - Milliseconds since midnight in the timezone of the data format.
- Open - Deci-cents Open Price for TradeBar.
- High - Deci-cents High Price for TradeBar.
- Low - Deci-cents Low Price for TradeBar.
- Close - Deci-cents Close Price for TradeBar.
- Volume - Number of shares traded in this TradeBar.
The quote CSV contents are as follows:
| Time | Bid Open | Bid High | Bid Low | Bid Close | Bid Size | Ask Open | Ask High | Ask Low | Ask Close | Ask Size |
|---|---|---|---|---|---|---|---|---|---|---|
| 15300000 | 6448000 | 6448000 | 6448000 | 6448000 | 90 | 6500000 | 6500000 | 6500000 | 6500000 | 100 |
- Time - Milliseconds since midnight in the timezone of the data format.
- Bid Open - Deci-cents Bid Open Price for QuoteBar.
- Bid High - Deci-cents Bid High Price for QuoteBar.
- Bid Low - Deci-cents Bid Low Price for QuoteBar.
- Bid Close - Deci-cents Bid Close Price for QuoteBar.
- Bid Size - Number of shares being bid that quoted in this QuoteBar.
- Ask Open - Deci-cents Ask Open Price for QuoteBar.
- Ask High - Deci-cents Ask High Price for QuoteBar.
- Ask Low - Deci-cents Ask Low Price for QuoteBar.
- Ask Close - Deci-cents Ask Close Price for QuoteBar.
- Ask Size - Number of shares being ask for that quoted in this QuoteBar.
Hour and Daily File Format
Hour and Daily files are located in the /equity/usa/{hour|daily} folder. Each file contains all bars available for this ticker. e.g. /data/equity/usa/hour/aapl.zip. The zip file contains 1 CSV file named the same as the ticker (aapl.csv). Only trade bar data is available in Hour and Daily resolution.
The CSV contents are as follows:
| DateTime | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 20131001 09:00 | 6448000 | 6448000 | 6448000 | 6448000 | 90 |
- DateTime - String date "YYYYMMDD HH:MM" in the timezone of the data format.
- Open - Deci-cents Open Price for TradeBar.
- High - Deci-cents High Price for TradeBar.
- Low - Deci-cents Low Price for TradeBar.
- Close - Deci-cents Close Price for TradeBar.
- Volume - Number of shares traded in this TradeBar.
Divide prices by 10,000 to convert deci-cents to dollars.
Tick File Format
Equity tick data is stored in files which are located in the /equity/usa/tick folder. The file name uses a 8-character length date: /data/equity/usa/tick/{ticker}/{YYYYMMDD}_{trade|quote}.zip. QuantConnect currently provides Quote equity ticks (post-2007) and Trade equity ticks.
Trade tick files are stored in files named {YYYYMMDD}_trade.zip. There is one file equity tick names named after the data: 20131008_bac_Trade_Tick.csv. The CSV contains records of each trade:
| Time | TradeSale | Trade Volume | Exchange | Trade Sale Condition | Suspicious |
|---|---|---|---|---|---|
| 14400009.367 | 137450 | 100 | D | 1 | 0 |
- Time - Milliseconds since midnight in the timezone of the data format.
- TradeSale - Deci-cents price of the tick sale.
- Volume - Number of shares in the sale.
- Exchange - Location of the sale.
- Trade Sale Condition - Notes on the sale.
- Suspicious - Boolean indicating the tick is flagged as suspicious according to AlgoSeek's algorithms. This generally indicates the trade is far from other market prices and may be reversed. TradeBar data excludes suspicious ticks.
Quote tick files are stored in files named {YYYYMMDD}_quote.zip. There is one file equity tick names named after the data: 20131008_bac_Quote_Tick.csv. The CSV contains records of each trade:
| Time | Bid Sale | Bid Size | Ask Sale | Ask Size | Exchange | Quote Sale Condition | Suspicious |
|---|---|---|---|---|---|---|---|
| 14400009.367 | 137450 | 100 | 0 | 0 | D | 1 | 0 |
- Time - Milliseconds since midnight in the timezone of the data format.
- Bid Sale - Deci-cents bid price of the bid quote tick.
- Bid Size - Number of shares in the bid quote tick.
- Ask Sale - Deci-cents ask price of the ask quote tick.
- Ask Size - Number of shares in the ask quote tick.
- Exchange - Location of the sale.
- Quote Sale Condition - Notes on the sale.
- Suspicious - Boolean indicating the tick is flagged as suspicious according to AlgoSeek's algorithms. This generally indicates the quote is far from other market prices and may be reversed. Each quote tick contains either bid or ask data only. QuoteBar data excludes suspicious ticks.
Tick Exchange Codes
| Exchange Letter | Exchange Name |
|---|---|
| A | NYSE MKT Stock Exchange |
| B | NASDAQ OMX BX Stock Exchange |
| C | National Stock Exchange |
| D | FINRA |
| I | International Securities Exchange |
| J | Direct Edge A Stock Exchange |
| K | Direct Edge X Stock Exchange |
| M | Chicago Stock Exchange |
| N | New York Stock Exchange |
| T | NASDAQ OMX Stock Exchange |
| P | NYSE Arca SM |
| S | Consolidated Tape System |
| T/Q | NASDAQ Stock Exchange |
| W | CBOE Stock Exchange |
| X | NASDAQ OMX PSX Stock Exchange |
| Y | BATS Y-Exchange |
| Z | BATS Exchange |
Tick Sale Conditions
Trade Ticks
| Sale Condition Code | Description |
|---|---|
| 0 | No Condition |
| 1 | A trade made without stated conditions is deemed regular way for settlement on the third business day following the transaction date. |
| 2 | A transaction which requires delivery of securities and payment on the same day the trade takes place. |
| 4 | A transaction that requires the delivery of securities on the first business day following the trade date. |
| 8 | A Seller’s Option transaction gives the seller the right to deliver the security at any time within a specific period, ranging from not less than two calendar days, to not more than sixty calendar days. |
| 10 | Market Centers will have the ability to identify regular trades being reported during specific events as out of the ordinary by appending a new sale condition code Yellow Flag (Y) on each transaction reported to the UTP SIP. The new sale condition will be eligible to update all market center and consolidated statistics. |
| 20 | The transaction that constituted the trade-through was the execution of an order identified as an Intermarket Sweep Order. |
| 40 | The trade that constituted the trade-through was a single priced opening transaction by the Market Center. |
| 80 | The transaction that constituted the trade-through was a single priced closing transaction by the Market Center. |
| 100 | The trade that constituted the trade-through was a single priced reopening transaction by the Market Center. |
| 200 | The transaction that constituted the trade-through was the execution of an order at a price that was not based, directly or indirectly, on the quoted price of the security at the time of execution and for which the material terms were not reasonably determinable at the time the commitment to execute the order was made. |
| 400 | Trading in extended hours enables investors to react quickly to events that typically occur outside regular market hours, such as earnings reports. However, liquidity may be constrained during such Form T trading, resulting in wide bid-ask spreads. |
| 800 | Sold Last is used when a trade prints in sequence but is reported late or printed in conformance to the One or Two Point Rule. |
| 1000 | The transaction that constituted the trade-through was the execution by a trading center of an order for which, at the time of receipt of the order, the execution at no worse than a specified price a 'stopped order' |
| 2000 | Identifies a trade that was executed outside of regular primary market hours and is reported as an extended hours trade. |
| 4000 | Identifies a trade that takes place outside of regular market hours. |
| 8000 | An execution in two markets when the specialist or Market Maker in the market first receiving the order agrees to execute a portion of it at whatever price is realized in another market to which the balance of the order is forwarded for execution. |
| 10000 | A transaction made on the Exchange as a result of an Exchange acquisition. |
| 20000 | A trade representing an aggregate of two or more regular trades in a security occurring at the same price either simultaneously or within the same 60-second period, with no individual trade exceeding 10,000 shares. |
| 40000 | Stock-Option Trade is used to identify cash equity transactions which are related to options transactions and therefore potentially subject to cancellation if market conditions of the options leg(s) prevent the execution of the stock-option order at the price agreed upon. |
| 80000 | Sale of a large block of stock in such a manner that the price is not adversely affected. |
| 100000 | 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. |
| 200000 | Indicates that the trade resulted from a Market Center’s crossing session. |
| 400000 | Indicates a regular market session trade transaction that carries a price that is significantly away from the prevailing consolidated or primary market value at the time of the transaction. |
| 800000 | To qualify as a NYSE AMEX Rule 155 |
| 1000000 | Indicates the ‘Official’ closing value as determined by a Market Center. This transaction report will contain the market center generated closing price. |
| 2000000 | A sale condition that identifies a trade based on a price at a prior point in time i.e. more than 90 seconds prior to the time of the trade report. The execution time of the trade will be the time of the prior reference price. |
| 4000000 | Indicates the ‘Official’ open value as determined by a Market Center. This transaction report will contain the market |
| 8000000 | The CAP Election Trade highlights sales as a result of a sweep execution on the NYSE, whereby CAP orders have been elected and executed outside the best price bid or offer and the orders appear as repeat trades at subsequent execution prices. This indicator provides additional information to market participants that an automatic sweep transaction has occurred with repeat trades as one continuous electronic transaction. |
| 10000000 | A sale condition code that identifies a NYSE trade that has been automatically executed without the potential benefit of price improvement. |
| 20000000 | Denotes whether or not a trade is exempt (Rule 611) and when used jointly with certain Sale Conditions, will more fully describe the characteristics of a particular trade. |
| 40000000 | This flag is present in raw data, but AlgoSeek document does not describe it. |
| 80000000 | Denotes the trade is an odd lot less than a 100 shares. |
Quote Ticks
| Sale Condition Code | Description |
|---|---|
| 0 | No Condition |
| 1 | This condition is used for the majority of quotes to indicate a normal trading environment. |
| 2 | This condition is used to indicate that the quote is a Slow Quote on both the Bid and Offer sides due to a Set Slow List that includes High Price securities. |
| 4 | While in this mode, auto-execution is not eligible, the quote is then considered manual and non-firm in the Bid and Offer and either or both sides can be traded through as per Regulation NMS. |
| 8 | This condition can be disseminated to indicate that this quote was the last quote for a security for that Participant. |
| 10 | This regulatory Opening Delay or Trading Halt is used when relevant news influencing the security is being disseminated. Trading is suspended until the primary market determines that an adequate publication or disclosure of information has occurred.transaction reported to the UTP SIP. The new sale condition will be eligible to update all market center and consolidated statistics. |
| 20 | This condition is used to indicate a regulatory Opening Delay or Trading Halt due to an expected news announcement, which may influence the security. An Opening Delay or Trading Halt may be continued once the news has been disseminated. |
| 40 | The condition is used to denote the probable trading range (bid and offer prices, no sizes) of a security that is not Opening Delayed or Trading Halted. The Trading Range Indication is used prior to or after the opening of a security. |
| 80 | This non-regulatory Opening Delay or Trading Halt is used when there is a significant imbalance of buy or sell orders. |
| 100 | This condition is disseminated by each individual FINRA Market Maker to signify either the last quote of the day or the premature close of an individual Market Maker for the day. |
| 200 | This quote condition indicates a regulatory Opening Delay or Trading Halt due to conditions in which a security experiences a 10 % or more change in price over a five minute period. |
| 400 | This quote condition suspends a Participant's firm quote obligation for a quote for a security. |
| 800 | This condition can be disseminated to indicate that this quote was the opening quote for a security for that Participant. |
| 1000 | This non-regulatory Opening Delay or Trading Halt is used when events relating to one security will affect the price and performance of another related security. This non-regulatory Opening Delay or Trading Halt is also used when non-regulatory halt reasons such as Order Imbalance, Order Influx and Equipment Changeover are combined with Due to Related Security on CTS. |
| 2000 | This quote condition along with zero-filled bid, offer and size fields is used to indicate that trading for a Participant is no longer suspended in a security which had been Opening Delayed or Trading Halted. |
| 4000 | This quote condition is used when matters affecting the common stock of a company affect the performance of the non-common associated securities, e.g., warrants, rights, preferred, classes, etc. |
| 8000 | This non-regulatory Opening Delay or Trading Halt is used when the ability to trade a security by a Participant is temporarily inhibited due to a systems, equipment or communications facility problem or for other technical reasons. |
| 10000 | This non-regulatory Opening Delay or Trading Halt is used to indicate an Opening Delay or Trading Halt for a security whose price may fall below $1.05, possibly leading to a sub-penny execution. |
| 20000 | This quote condition is used to indicate that an Opening Delay or a Trading Halt is to be in effect for the rest of the trading day in a security for a Participant. |
| 40000 | This quote condition is used to indicate that a Limit Up-Limit Down Price Band is applicable for a security. |
| 80000 | This quote condition is used to indicate that a Limit Up-Limit Down Price Band that is being disseminated is a ‘republication’ of the latest Price Band for a security. |
| 100000 | This indicates that the market participant is in a manual mode on both the Bid and Ask. While in this mode, automated execution is not eligible on the Bid and Ask side and can be traded through pursuant to Regulation NMS requirements. |
| 200000 | For extremely active periods of short duration. While in this mode, the UTP participant will enter quotations on a “best efforts” basis. |
| 400000 | A halt condition used when there is a sudden order influx. To prevent a disorderly market, trading is temporarily suspended by the UTP participant. |
See more information in the AlgoSeek whitepaper.
Trade Ticks (Pre-2007)
| Exchange | Sale Condition Code | Description |
|---|---|---|
| CTS | Blank or ‘@’ | Regular Sale (no condition) |
| CTS | ‘B’ | Average Price Trade |
| CTS | ‘C’ | Cash Trade (same day clearing) |
| CTS | ‘E’ | Automatic Execution |
| CTS | ‘F’ | Intermarket Sweep Order |
| CTS | ‘G’ | Opening/Reopening Trade Detail |
| CTS | ‘H’ | Intraday Trade Detail |
| CTS | ‘I’ | CAP Election Trade |
| CTS | ‘J’ | Rule 127 Trade |
| CTS | ‘K’ | Rule 127 trade (NYSE only) or Rule 155 trade |
| NYSE | ‘L’ | Sold Last (late reporting) |
| NYSE | ‘N’ | Next Day Trade (next day clearing) |
| NYSE | ‘O’ | Market Center Opening Trade |
| NYSE | ‘R’ | Seller |
| NYSE | ‘S’ | Reserved |
| NYSE | ‘T’ | Extended Hours Trade |
| NYSE | ‘U’ | Extended Hours (Sold Out of Sequence) |
| NYSE | ‘Z’ | Sold (out of sequence) |
| NYSE | ‘4’ | Derivatively Priced |
| NYSE | ‘5’ | Market Center Re-opening Prints |
| NYSE | ‘6’ | Market Center Closing Prints |
| NASD | ‘@’ | Regular Trade |
| NASD | ‘A’ | Acquisition |
| NASD | ‘B’ | Bunched Trade |
| NASD | ‘C’ | Cash Trade |
| NASD | ‘D’ | Distribution |
| NASD | ‘F’ | Intermarket Sweep |
| NASD | ‘G’ | Bunched Sold Trade |
| NASD | ‘K’ | Rule 155 Trade (NYSE MKT Only) |
| NASD | ‘L’ | Sold Last |
| NASD | ‘M’ | Market Center Close Price |
| NASD | ‘N’ | Next Day |
| NASD | ‘O’ | Opening Prints |
| NASD | ‘P’ | Prior Reference Price |
| NASD | ‘Q’ | Market Center Open Price |
| NASD | ‘R’ | Seller (Long-Form Message Formats Only) |
| NASD | ‘S’ | Split Trade |
| NASD | ‘T’ | Form - T Trade |
| NASD | ‘U’ | Extended Hours (Sold Out of Sequence) |
| NASD | ‘W’ | Average Price Trade |
| NASD | ‘Y’ | Yellow Flag |
| NASD | ‘Z’ | Sold (Out of Sequence) |
| NASD | ‘1’ | Stopped Stock - Regular Trade |
| NASD | ‘2’ | Stopped Stock - Sold Last |
| NASD | ‘3’ | Stopped Stock - Sold Last 3 |
| NASD | ‘4’ | Derivatively Priced |
| NASD | ‘5’ | Re-opening Prints |
| NASD | ‘6’ | Closing Prints |
| NASD | ‘7’ | Placeholder for 611 Exempt |
| NASD | ‘8’ | Placeholder for 611 Exempt |
| NASD | ‘9’ | Placeholder for 611 Exempt |
See more information in the QuantQuote whitepaper.