The NYSE and NYSE American markets report trades based on the size of the marketable order, called Level Book reporting. All other U.S. exchanges report trades based on the resting counterparty's size, called Order Based reporting. Using ITCH data timestamped to the nanosecond, we show that Order Based reporting often results in the reporting of marketable orders as multiple trades of smaller size. Marketable order sizes cannot be recovered with millisecond time stamps but can with microsecond time stamps. The Order Based convention significantly impacts standard empirical methods. Depending on the research design, researchers may need to control for the trade reporting method.

纽约证券交易所和纽约证券交易所美国市场根据可交易订单的大小来报告交易，称为“水平簿”报告。美国所有其他交易所都根据交易对手的规模来报告交易，称为基于订单的报告。使用加盖时间戳的纳秒数据到纳秒，我们显示基于订单的报告通常会导致以较小规模的多次交易报告可销售订单。可销售的订单大小无法使用毫秒级时间戳恢复，但可以使用微秒级时间戳恢复。基于订单的约定对标准的经验方法有重大影响。根据研究设计，研究人员可能需要控制贸易报告方法。