The question
This study measures how often a ticker sets a
Why it matters to you
A New #1 Print alert sounds rare, and how rare depends on the ticker. A stock with ten years of history has a long list of large trades to beat. A stock that listed last year has a short one. If you follow both, it helps to know how often each tends to produce a New #1 Print, so an alert from either lands in context.
There is a simple baseline to compare against. Suppose every day's largest trade came from the same unchanging pattern. Then the chance that a given day beats every day before it would be about one divided by the number of days of history. Under that baseline, a ticker with 250 sessions of history would set a New #1 Print about ten times as often as a ticker with 2,500. The baseline comes from arithmetic alone. Real markets change over time, so the study measures how far real tickers sit from it.
Definitions
- New #1 Print.
- An eligible print whose dollar value is larger than every earlier eligible print in the same ticker's covered history, at the moment it prints.
- Dollar value.
- Price times shares.
- Eligible print.
- A print that counts toward ranks under the method version in use, using corrected data. Excluded and Canceled trades are left out.
- Covered history.
- A ticker's trade history in BigTape. It starts on January 4, 2016, or on the ticker's first covered day if later. For a stock that traded long before 2016, the study still starts in 2016, because that is where BigTape's ranks start.
- History length.
- The number of covered sessions from a ticker's first covered day to the session before the print.
- Ticker-session.
- One ticker on one trading day.
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.
- Warm-up.
- A ticker enters the study after its first 60 covered sessions. In a ticker's first days there is little history to beat, so New #1 Prints come easily and would swamp the results.
- 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 rate of New #1 Prints per 1,000 ticker-sessions, in five bands of history length (60 to 249 sessions, 250 to 499, 500 to 999, 1,000 to 1,999, and 2,000 or more).
- The baseline rate for each band, shown beside the measured rate.
- The same rates split by venue type, Exchange or Dark, and by whether the print came from an
Open Auction or aClose Auction .
Every figure will show the number of tickers and ticker-sessions behind it, and a 95% interval that shows how uncertain it is. A band with too few tickers to read will be shown and marked as too small. The report will name the method version used and the date the study ran.