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Summary Metrics by Decile and Quartile

January 2012 - March 2021

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).

Data Downloads

File: 2012 Q1 - 2021 Q1 Format:ZIP Size:6.61 MB
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