The Insurance and Finance SAS Users Group (IFSUG)
is a special interest SAS Users Group focused on the insurance and finance industry. We provide a forum for the exchange of information and promotion of new ideas concerning SAS and related products and to assist participants in developing SAS skills.
Would you like to get involved and help IFSUG be a benefit to SAS Users worldwide? Here are some ways to do so:
- Webinar on May 5 (4-5 EDT):
Title: Finding the National Best Bid and Offer, Quote by Quote.
Abstract: US stock exchanges are tracked in real time via the Consolidated Tape System (CTS) and the Consolidated Quotation System (CQS). CQS contains every updated quote (buyer's bid price and seller's offer price) from each exchange, covering some 8,500 stock tickers. This is the basis by which brokers can honor their obligation to investors, mandated by the U.S. Securities and Exchange Commission, to execute transactions at the best price, that is, at the National Best Bid and Offer (NBBO). With the advent of electronic exchanges and high-frequency trading (timestamps are published to the microsecond), data set size has become a major operational consideration for market researchers re-creating NBBO values (over 1 billion quotes requiring 80 gigabytes of storage for a normal trading day). This presentation demonstrates a straightforward use of hash tables for tracking constantly changing quotes for each ticker/exchange combination, in tandem with an efficient means of determining changes in NBBO with every new quote.