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I was looking at the L2's for a stock I own using www.quotemedia.com and noticed that the last trade of the day is noted with a "W" modifier code, which according to quotemedia help is defined as an "Average Price Trade".
I did some quick research using Google and came up with a definition of an "Average Price Trade" via www.nasdaqtrader.com.
quote: Modify the existing Average Price ("W") modifier: Within the UTP Trade Data Feed (UTDF) specifications, an Average Price Trade is defined as 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.
Under the current UTDF processing rules, a W transaction would impact the market center high, low, or last sale prices if the trade was the first eligible transaction reported. Since W trades, by definition, reflect other transaction prices, it is improper for this sale condition modifier to update high, low, or last price under any circumstances. As such, the processing rules for the W modifer will be revised to only update volume.
In addition, as part of this release, the "W" sale condition will be used to identify stopped stock transactions for the NASDAQ Market Center.
Perhaps one of the seasoned traders out there can help me out on this one. Who can make Average Price Trades and why might they do so?
TIA, NR.
PCola77
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Someone else may correct me if I'm wrong, but I've seen this many times on a "after hours" trade. I think this may be what you mean by "last trade of the day". OTCBB and Pinksheets aren't traded after hours, but you'll often see a single trade at like 4:04 or somethign with a price sometimes significantly different from the closing price, and outside the closing bid x ask.
They are also commonly referred to as "settlement", in that it is the combination of all trades not posted during thrading hours for one reasno or another. Conspiracy theory says tardes are held until after the close to simulate that volume isn't as high as it really is during big runs, in order to discourage more buying. Sometimes I kind of believe it.
Anyway, I think they average all of those trades to one price and one big volume chunk.
Let me know if I'm not interpreting your question correctly.
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