SEC MIDAS on WRDS
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.