MIDAS: Market Information Data Analytics System (SEC)From the SEC, this contains very rich and complete intra-day financial market (averaged by the stock-day) statistics for thousands of securities. It also describes the methodology behind every variable.
SEC MIDAS (Market Information Data and Analytics System) contains Individual Security Metrics published by SEC MIDAS. It provides market trading metrics for over 8,000 securities (stocks and exchange-traded portfolios).
SEC MIDAS also contains proxies for daily Algorithm Trading (AT) and High Frequency Trading (HFT) activities. For example:
- Cancel-to-Trade ratio,
- Trade-to-Order ratio,
- Odd Lot Ratio.
Other daily trading summaries include:
- Total Trade Volume,
- Hidden Order Volume,
- Trades and Trading Volume against Hidden Orders,
- Hidden Rate, etc.