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
-
21Dec2022 Year In Review December 21st, 2022
-
14DecUpdates to 12 days of TAQ 2017 data December 14th, 2022
New Data
-
17MayNEW Estimize Institutional-Grade Earnings Estimates Data May 17th, 2022
-
27AprNEW S&P ESG Data―Global ESG Scores and Trucost April 27th, 2022