WRDS 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).
WRDS 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.
WRDS SEC MIDAS is free to access.
Events
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22OctFinancial Management Association (FMA) 2025 Vancouver, British Columbia, Canada
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02NovIATUL (International Association of University Libraries Shanghai, China
New Data
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23JulMarkit: Rebranded as S&P product July 23rd, 2025
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02JunName change for Bureau van Dijk June 2nd, 2025