What is the definition of the Price Variation sale condition modifier?
As outlined in UTP Vendor Alert #2007-34, the Price Variation sale condition modifier is as follows: Price Variation Trade (“H”): The Price Variation Trade sale condition code is used to denote a regular market session trade transaction that carries a price that is significantly away from the prevailing consolidated or primary market value at the time of the transaction. Price Variation Trade transactions will be included in daily volume statistics but will not be eligible for inclusion in the high price, low price or last sale price statistics at either the consolidated or market center level. The Price Variation Trade value “H” will appear in Level 4 of the extended sale condition modifier field on the UTDF and NLS data feeds. NASDAQ and other UTP participants have the ability to modify the original trade reports via the trade correction message, appending the sale condition “H.” Under this circumstance, market data redistributors would need to remove the transaction from the high, l
