Summary Metrics by Decile and Quartile
January 2012 - April 2017
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. The zip file contains 12 datasets, which provide time series data by security type (stock or ETP) and metric (Trade to Order Volume, Cancel to Trade Ratio, Odd Lot Rate, Odd Lot Volume, Hidden Rate, Hidden Volume).