Market Structure Data Downloads
The Securities and Exchange Commission provides data downloads that promote better understanding of our equity markets and equity market structure. For more information, review current staff market structure research, explore interactive data visualization tools, or further the dialogue through public feedback.
Learn how the SEC uses MIDAS data to construct trade-to-order ratios, quote lifetime distributions, and other metrics:
Market Structure Data Downloads RSS FeedTitle | Category | Last Updated |
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Hazards and Survivors by Time Period Each zip file contains 36 datasets, which provide the hazard, survivor, and cumulative distribution functions for select time scales for large stocks, mid cap stocks, small stocks, large ETPs, mid cap ETPs, and small ETPs. |
Quote Life Data Series |
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Metrics by Individual Security and Exchange These datasets provide metrics for each individual security partitioned by exchange. |
Market Activity Data Series |
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Summary Metrics by Decile and Quartile These datasets provide metrics partitioned by market capitalization, price, volatility, and turnover. The stock market activity metrics are partitioned by decile and the ETP metrics by quartile. |
Market Activity Data Series |
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Summary Metrics by Exchange These datasets provide metrics for each security type and exchange. |
Market Activity Data Series |
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Conditional Cancel and Trade Distributions Each zip file contains 54 datasets: nine each for large stocks, mid cap stocks, small stocks, large ETPs, mid cap ETPs, and small ETPs. |
Quote Life Data Series |
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Metrics by Individual Security These datasets provide metrics for more than 4,800 securities. |
Market Activity Data Series |
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Spreads and Depth by Individual Security These datasets provide spreads and depth partitioned by individual ticker symbol and date for each day in 2013. |
Market Activity Data Series |