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MARKET STRUCTURE >>

Research and Analysis

Data Highlights are periodically prepared by SEC staff based on MIDAS data snapshots when new data series are created or noteworthy changes or developments occur. White Papers rely on a variety of data sources to provide insights into the structure of the equities markets.

Data Highlights

  • Order Book Reporting Methods and Their Impact on Some Market Activity Measures

    March 20, 2014

    This Data Highlight explores the impact of different order book reporting mechanisms on the interpretation of three common market activity measures: cancel-to-trade ratio, odd lot trade ratio and odd lot volume ratio. To account for the disparate nature of the feeds, we have made some modifications to a number of the exchange-specific metrics published on the Market Structure web site. Details of these changes are also in the Market Activity Methodology document.

  • Equity Market Speed Relative to Order Placement

    March 20, 2014

    This Data Highlight extends the analysis of corporate stock quote lifetimes first examined in Data Highlight 2013-05, The Speed of the Equity Markets, by parsing orders by their placement relative to the prevailing best bid and offer.

  • Odd Lot Rates in a Post-Transparency World

    January 9, 2014

    This Data Highlight explores the extent to which the level of odd lot trade executions in equities may have changed as a result of such trades now being required to be reported to the public consolidated tapes.

  • The Speed of the Equity Markets

    October 9, 2013

    Comparing the distribution of canceled quote lifetimes to those that result in trade executions helps reveal the extent to which the markets are dominated by individual quotes that are canceled so fast that they cannot be accessed. The data show that the vast majority of individual quotes can be accessed by at least some market participants before they are canceled.

  • Quote Lifetime Distributions

    October 9, 2013

    An accurate assessment of quote lifetimes measures the speed of markets and how it may change in response to new products, technologies, market practices or regulations. Patterns may shed light on algorithmic trading and how algorithms interact with each other. The data suggest that there are at least some market participants that use algorithms that operate at pre-defined periodic rates, and not just in response to rapid changes in market conditions.

  • Odd Lot Rates

    October 9, 2013

    Transactions of fewer than 100 shares are not (at present) reported to the consolidated tape. As a result, the percentage of these trades—the odd lot rate—is one measure of the extent to which potential price discovery transactions go unutilized. The data show that a significant percentage of trades in both corporate stocks and ETPs are executed in odd lots.

  • Hidden Volume Ratios

    October 9, 2013

    A significant percentage of trading takes place off-exchange in venues that are less than fully transparent. Measuring the number and volume of on-exchange trades that are executed against “hidden orders” sheds light on the use of these less than fully-transparent order types by exchange-based market participants.

  • Trade to Order Volume Ratios

    October 9, 2013

    The trade-to-order volume ratio measures the extent to which exchange orders are either canceled or filled. The data show that the current trade-to-order volume ratio for corporate stocks is more than ten times higher than the ratio for ETPs. As the marketplace evolves, variations in the ratios of stocks and ETPs may measure the impact of new products, developing technologies and regulatory changes.

White Papers

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