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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27MayInfrastructure Enhancements - May 26, 2021 May 27th, 2021
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19Apr
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11AprWharton Annual Analytics Conference: May 3-7 April 11th, 2021
New Data
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29MarAdvance your Research with Refinitiv Datastream and ESG March 29th, 2021
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10FebNow Available: Enhanced News and Data Analytics by RavenPack February 10th, 2021
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15DecWRDS Venture Capital, Covering Private Placements and Issuance December 15th, 2020