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.
WRDS News
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20NovTUM School of Management wins EMEA Innovation Award for … November 20th, 2024
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01NovHolden Conference awards WRDS Best Paper and Discussant prizes November 1st, 2024
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New Data
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14NovChanges to CRSP Data November 14th, 2024
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