SEC Reporting Analytics – Hidden & Cancelled Trade Metrics by Security

Individual securities order based exchange metrics published quarterly.

Description:

The dataset provides metrics for more than 4,800 securities across all exchanges. The data set can be merged with SEC Reporting Analytics main fundamental financials data set for enhanced stock price correlation research & analysis. The information can be also be used in and of itself to calculate various metrics to provide further insights into specific security market activity. For instance, investors wishing to hide large-size orders can do use by applying the “Hidden” attribute to a large volume order to completely hide the submitted quantity from the market. The Hidden order type is a simple solution to maintaining anonymity in the market when trying to buy or sell large amounts of stocks, options, bonds, warrants, futures or futures options. Odd lot trades are trade orders made by investors that include less than 100 shares in the transaction or are not a multiple of 100. These trade orders generally encompass individual investors that the theory believes are less educated and influential in the market overall. Round lots are the opposite of odd lots. See data dictionary and ‘Read Me’ tab for detailed file structure definitions and data tabulation disclosures.

Table Name:

SECURITIESMETRICS

Table Field Names:

– Date
– Security
– Ticker
– McapRank
– TurnRank
– VolatilityRank
– PriceRank
– LitVol(‘000)
– OrderVol(‘000)
– Hidden
– TradesForHidden
– HiddenVol(‘000)
– TradeVolForHidden(‘000)
– Cancels
– LitTrades
– OddLots
– TradesForOddLots
– OddLotVol(‘000)
– TradeVolForOddLots(‘000)

Example Uses Cases:

– Cancel-to-Trade = Cancels/LitTrades
– Trade-to-Order-Volume = 100*LitVol/OrderVol
– Hidden Rate = 100*Hidden/TradesForHidden
– Oddlot Rate=100*OddLots/TradesForOddLots
– Oddlot Volume=100*OddLotVol/TradeVolForOddLots
– & more!

About the Provider:

SEC Reporting Analytics streamlines research, assessment, and comparison of fundamental financial statement operating metrics and accounting disclosures for all SEC Edgar filing forms (Form 10-K, Form 10-Q, Form 8-K). The platform was developed to support Mutual Funds, Pension Funds, Hedge Funds, Private Equity, Growth Equity, Venture Capital, Institutional and Retail Investors community develop programs and trading strategies that meet investment and target returns. The data set can also be used for various purposes including a prospecting platform for business development teams of certain products and services that firms can offer based on target customer prospect criteria. The platform was developed in 2016 and has since consistently proven to be an accurate and reliable source of quantitative analytics for investment decision making.

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