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:

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Title
Category
Last Updated
Title: Spreads and Depth by Individual Security
These datasets provide spreads and depth partitioned by individual ticker symbol and date for each day in 2013.
Category:

Market Activity Data Series

Last Updated:
Title: 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.
Category:

Market Activity Data Series

Last Updated:
Title: 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.
Category:

Quote Life Data Series

Last Updated:
Title: Metrics by Individual Security
These datasets provide metrics for more than 4,800 securities.
Category:

Market Activity Data Series

Last Updated:
Title: 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.
Category:

Quote Life Data Series

Last Updated:
Title: Metrics by Individual Security and Exchange
These datasets provide metrics for each individual security partitioned by exchange.
Category:

Market Activity Data Series

Last Updated:
Title: Summary Metrics by Exchange
These datasets provide metrics for each security type and exchange.
Category:

Market Activity Data Series

Last Updated:
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