NBBO and Level 2 Calculation Updates

Tuesday, July 30, 2019

In reviewing our data processing methodology, we have identified and resolved issues with our (N)BBO and Level 2 (Top of Book) calculations, which, in certain circumstances, may have potentially impacted the data sets listed below. Our analysis shows the issues may have resulted in certain quote conditions being excluded from the calculations in certain cases.

Equity & ETF Quotes Intervals
End-of-Day Equity Quotes
Option Quotes Intervals
Option Quotes Intervals with Calcs
End-of-Day Option Quotes Data
End-of-Day Option Quotes with Calcs
Options Trade Data
Options Trade Data with Calcs

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