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Conditional Cancel and Trade Distributions

October 2012 - September 2017

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
File: 2017 Q3 Format:ZIP Size:14.9 MB
File: 2017 Q2 Format:ZIP Size:14.92 MB
File: 2017 Q1 Format:ZIP Size:14.96 MB
File: 2016 Q4 Format:ZIP Size:16.86 MB
File: 2016 Q3 Format:ZIP Size:17.07 MB
File: 2016 Q2 Format:ZIP Size:16.95 MB
File: 2016 Q1 Format:ZIP Size:17.24 MB
File: 2015 Q4 Format:ZIP Size:14.67 MB
File: 2015 Q3 Format:ZIP Size:14.59 MB
File: 2015 Q2 Format:ZIP Size:14.53 MB
File: 2015 Q1 Format:ZIP Size:14.45 MB
File: 2014 Q4 Format:ZIP Size:14.31 MB
File: 2014 Q3 Format:ZIP Size:14.62 MB
File: 2014 Q2 Format:ZIP Size:14.46 MB
File: 2014 Q1 Format:ZIP Size:14.38 MB
File: 2013 Q4 Format:ZIP Size:1.51 MB
File: 2013 Q3 Format:ZIP Size:3.33 MB
File: 2013 Q2 Format:ZIP Size:3.35 MB
File: 2013 Q1 Format:ZIP Size:14.5 MB
File: 2012 Q4 Format:ZIP Size:14.57 MB
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