MIDAS is the SEC’s implementation of a new system that combines advanced technologies with empirical data to promote better understanding of markets. Most investors are familiar with the ticker that crawls across TV screens on business channels. It’s based on the consolidated tape that generally includes every trade of 100 shares or more in listed equities, such as corporate stocks and exchange-traded products.
But the consolidated tape does not provide a complete picture. First, for all but a few equities, trades of less than 100 shares are not currently reported. Second, though the tape does provide data on the price and size of the best bid and best offer for each stock on each exchange, it does not provide information on orders placed below the best bid or above the best offer.
As an example, the chart below graphs the order book for a typical large cap stock in 10-second snapshots over the course of an entire trading day. Each band represents the total number of shares bid (below the center line) and offered (above the center line) at different price levels. The two bands nearest to center line represent size at the best bid and offer. As shown however, this is just a small portion of the total number of shares bid or offered at prices above the best offer or below the best bid.
Meilensteine:
The history of MIDAS began with the need to more efficiently collect and analyze order book data for equities and futures.
Antwort auf Nanex (und den Flash Crash von 2010): Neues Datenanalyse-Tool der SEC ist online
Meilensteine:
The history of MIDAS began with the need to more efficiently collect and analyze order book data for equities and futures.
Begriffserklärungen/ Terminologie
http://www.sec.gov/marketstructure/qlr_methodology.html