For those of you interested in empirical research now or in the future, keep in mind the new MIDAS (Market Information Data Analytics System) data sets available from the SEC.

Every day MIDAS collects about 1 billion records from the proprietary feeds of each of the 13 national equity exchanges time-stamped to the microsecond. MIDAS allows us to readily perform analyses of thousands of stocks and over periods of six months or even a year, involving 100 billion records at a time.

MIDAS collects posted orders and quotes, modifications/cancellations, and trade executions on national exchanges, as well as off-exchange trade executions. 

SEC Midas

The methodology for MIDAS is available here.

Happy Thanksgiving BLPB readers!  

-Anne Tucker