When do big prints arrive?

The question

This study measures when big prints happen during the trading day. It also measures how much of that pattern comes from the opening and closing auctions.

Why it matters to you

If you check BigTape at set times, it helps to know when big prints tend to arrive. Auctions complicate the picture. An auction matches many orders in a single print, so auction prints can be very large simply because many orders are combined. Measuring the auctions separately keeps them from masking the pattern in the rest of the day.

Definitions

Big print.

An eligible print that ranked Top 100 or higher for its ticker at the moment it printed. A second pass repeats every measure using Rare Prints.

Eligible print.

A print that counts toward ranks under the method version in use, using corrected data. Excluded and Canceled trades are left out.

Rank at the time.

Each print's rank counts only the trades before it, never later ones.

Trade time.

The time of the trade in Eastern time, as reported. Late Reports use their reported trade time.

Time buckets.

Thirteen 30-⁠minute buckets from 9:30 a.m. to 4:00 p.m. Eastern. Open Auction and Close Auction prints are counted on their own, outside the buckets. Extended Hours prints form two more groups, before the open and after the close.

Early closes.

On days when the market closes early, the last bucket ends at that day's close, and the Close Auction is counted at that time.

Population, window and eligibility

Population.

Every U.S.-listed stock and ETF that BigTape covers.

Window.

From January 4, 2016, to the last complete month before the study runs.

Short histories.

In 2016 every ticker's history is short, so Top 100 is easier to reach. Results will be shown with and without each ticker's first year of history.

Gaps.

Ticker-sessions with incomplete data are left out, and the report counts them.

What we will measure and how we will report it

• The share of big prints in each time bucket, each auction and each extended-hours group, by count and by dollar value.
• The same shares for all eligible trading, so the report can show where big prints are more or less common than ordinary trading at the same time of day.
• Splits by venue type, Exchange or Dark, and by stocks versus ETFs.

Results will appear as tables and one chart per split. Every figure will show its counts and a 95% interval, and the report will name the method version used and the date the study ran.

Illustration