MAR User Data

These are the csv files containing the raw data underlying most of the charts.
They are intended for user download.

Exchanges denote trades against hidden orders: Arca, Bats-Y, Bats-Z, Boston, Edga-A, Edge-X, Nasdaq, PHLX
Exchanges do not denote trades against hidden orders: Amex, CHX, NSX, NYSE
Exchanges do not report trades against individual orders: Amex, NYSE

LitVol('000): Sum of trade volume for trades that are not against hidden orders.
OrderVol('000): Sum of order volume for all add order messages.
Hidden: Count of trades against hidden orders from exchanges that report trades against hidden orders.
TradesForHidden: Count of trades from exchanges that report trades against hidden orders.
HiddenVol('000): Sum of trade volume for trades against hidden orders from exchanges that report trades against hidden orders.
TradeVolForHidden('000): Sum of trade volume from exchanges that report trades against hidden orders.
Cancels: Count of all cancel messages, either full or partial, for all exchanges.
LitTrades: Count of all trade messages for trades that are not against hidden orders.
OddLots: Count of odd lot trade messages for all exchanges.
TradesForOddLots: Count of trades from exchanges that report individual trades.
OddLotVol('000): Sum of odd lot trade volume for all exchanges.
TradeVolForOddLots('000): Sum of trade volume from exchanges that report individual trades.

The metrics:

Cancel-to-Trade = Cancels/LitTrades for Arca, Bats-Y, Bats-Z, Boston, CHX, Edga-A, Edge-X, Nasdaq, NSX, PHLX
Trade-to-Order-Volume = 100*LitVol/OrderVol for All Exchanges
Hidden Rate = 100*Hidden/TradesForHidden for Arca, Bats-Y, Bats-Z, Boston, Edga-A, Edge-X, Nasdaq, PHLX
Hidden Volume = 100*HiddenVol/TradeVolForHidden for Arca, Bats-Y, Bats-Z, Boston, Edga-A, Edge-X, Nasdaq, PHLX
Oddlot Rate=100*OddLots/TradesForOddLots for Arca, Bats-Y, Bats-Z, Boston, CHX, Edga-A, Edge-X, Nasdaq, NSX, PHLX
Oddlot Volume=100*OddLotVol/TradeVolForOddLots for Arca, Bats-Y, Bats-Z, Boston, CHX, Edga-A, Edge-X, Nasdaq, NSX, PHLX
