Best Bid/Ask Prices Are Crossed During Trading

[vincentk]

While giving the data a more in-depth look, I noticed rather quickly that at least for some products, the best bid would seem to be consistently higher than the best ask (i.e. if that were true, one could buy the low and sell the high at zero risk).

I do not believe that this is actually what happens. My understanding is that this is presumably a bug in how trade executions are handled in OrderBook.update. Possibly related to transitions from TradingStatus.PreOpening (presumed auction) to TradingStatus.Opened.

As I will no longer proceed with working with the NYSE TAQ, I will presumably not be able to provide a fix (which I estimate to take around 1-2 days to research and implement).

Still thought it might be useful to comment on this here for future reference. Perhaps you have insights to share on this.