Market Structure
Conditional Cancel and Trade Distributions
October 2012 - March 2024
Each zip file contains 54 datasets: nine each for large stocks, mid cap stocks, small stocks, large ETPs, mid cap ETPs, and small ETPs. Each file contains the conditional cancel and trade duration distributions for one of nine fixed time scales.
Data Downloads
| File | Format | Size |
|---|---|---|
| 2024 Q1 | ZIP | 15.82 MB |
| 2023 Q4 | ZIP | 15.48 MB |
| 2023 Q3 | ZIP | 15.6 MB |
| 2023 Q2 | ZIP | 15.54 MB |
| 2023 Q1 | ZIP | 15.38 MB |
| 2022 Q4 | ZIP | 15.28 MB |
| 2022 Q3 | ZIP | 15.26 MB |
| 2022 Q2 | ZIP | 15.44 MB |
| 2022 Q1 | ZIP | 15.34 MB |
| 2021 Q4 | ZIP | 15.12 MB |
| 2021 Q3 | ZIP | 15.05 MB |
| 2021 Q2 | ZIP | 15.1 MB |
| 2021 Q1 | ZIP | 15.37 MB |
| 2020 Q4 | ZIP | 15.4 MB |
| 2020 Q3 | ZIP | 15.36 MB |
| 2020 Q2 | ZIP | 15.4 MB |
| 2020 Q1 | ZIP | 15.64 MB |
| 2019 Q4 | ZIP | 15.26 MB |
| 2019 Q3 | ZIP | 15.07 MB |
| 2019 Q2 | ZIP | 14.94 MB |
| 2019 Q1 | ZIP | 14.87 MB |
| 2018 Q4 | ZIP | 15.12 MB |
| 2018 Q3 | ZIP | 14.9 MB |
| 2018 Q2 | ZIP | 15.05 MB |
| 2018 Q1 | ZIP | 15.02 MB |
| 2017 Q4 | ZIP | 14.98 MB |
| 2017 Q3 | ZIP | 14.9 MB |
| 2017 Q2 | ZIP | 14.92 MB |
| 2017 Q1 | ZIP | 14.96 MB |
| 2016 Q4 | ZIP | 16.86 MB |
| 2016 Q3 | ZIP | 17.07 MB |
| 2016 Q2 | ZIP | 16.95 MB |
| 2016 Q1 | ZIP | 17.24 MB |
| 2015 Q4 | ZIP | 14.67 MB |
| 2015 Q3 | ZIP | 14.59 MB |
| 2015 Q2 | ZIP | 14.53 MB |
| 2015 Q1 | ZIP | 14.45 MB |
| 2014 Q4 | ZIP | 14.31 MB |
| 2014 Q3 | ZIP | 14.62 MB |
| 2014 Q2 | ZIP | 14.46 MB |
| 2014 Q1 | ZIP | 14.38 MB |
| 2013 Q4 | ZIP | 1.51 MB |
| 2013 Q3 | ZIP | 3.33 MB |
| 2013 Q2 | ZIP | 3.35 MB |
| 2013 Q1 | ZIP | 14.5 MB |
| 2012 Q4 | ZIP | 14.57 MB |
Last Reviewed or Updated: March 31, 2024