Spreads and Depth by Individual Security
These datasets provide spreads and depth partitioned by individual ticker symbol and date for each day in 2013.
View ArticleHazards and Survivors by Time Period
Each zip file contains 36 datasets, which provide the hazard, survivor, and cumulative distribution functions for select time scales for large stocks, mid cap stocks, small stocks, large ETPs, mid cap...
View ArticleMetrics by Individual Security
These datasets provide metrics for more than 4,800 securities.
View ArticleConditional Cancel and Trade Distributions
Each zip file contains 54 datasets: nine each for large stocks, mid cap stocks, small stocks, large ETPs, mid cap ETPs, and small ETPs.
View ArticleSummary Metrics by Decile and Quartile
These datasets provide metrics partitioned by market capitalization, price, volatility, and turnover. The stock market activity metrics are partitioned by decile and the ETP metrics by quartile.
View ArticleMetrics by Individual Security and Exchange
These datasets provide metrics for each individual security partitioned by exchange.
View ArticleSummary Metrics by Exchange
These datasets provide metrics for each security type and exchange.
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