Hidden & Cancelled Trade Metrics
Pricing is based on a single data set containing daily order exchange metrics by security for the latest quarter.
The SEC Individual Security Metrics dataset provides metrics for more than 4,800 securities across all exchanges. The data set can be merged with SEC Reporting Analytics main fundamental financials data set for enhanced stock price correlation research & analysis. The information can be also be used in and of itself to calculate various metrics to provide further insights into specific security market activity. For instance, investors wishing to hide large-size orders can do use by applying the "Hidden" attribute to a large volume order to completely hide the submitted quantity from the market. The Hidden order type is a simple solution to maintaining anonymity in the market when trying to buy or sell large amounts of stocks, options, bonds, warrants, futures or futures options. Odd lot trades are trade orders made by investors that include less than 100 shares in the transaction or are not a multiple of 100. These trade orders generally encompass individual investors that the theory believes are less educated and influential in the market overall. Round lots are the opposite of odd lots. See data dictionary and 'Read Me' tab for detailed file structure definitions and SEC data tabulation disclosures.
Table Field Names:
Example Uses Cases:
- Cancel-to-Trade = Cancels/LitTrades
- Trade-to-Order-Volume = 100*LitVol/OrderVol
- Hidden Rate = 100*Hidden/TradesForHidden
- Oddlot Rate=100*OddLots/TradesForOddLots
- Oddlot Volume=100*OddLotVol/TradeVolForOddLots
- & more!
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