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How did they get this data on stock trades? I would love to take a look at that it. And instead of an average, I'd like to see a histogram. I bet there are a lo

How did they get this data on stock trades? I would love to take a look at that it. And instead of an average, I'd like to see a histogram. I bet there are a lot of very quick trades and a lot of people/companies that hold onto stocks for months or years.

AndyParkinson 16y ago
Here's something that might help... According to http://www.nytimes.com/2010/05/07/business/economy/07trade.html http://www.nytimes.com/2010/05/07/business/economy/07trade.h... "In recent years, what is known as high-frequency trading — rapid automated buying and selling — has taken off and now accounts for 50 to 75 percent of daily trading volume." From what I've read, its gotten pretty ridiculous overall.
nostrademons 16y ago
You can get raw data from the NYSE TAQ database, as well as various resellers: http://www.nyxdata.com/Data-Products/Daily-TAQ http://www.nyxdata.com/Data-Products/Daily-TAQ However, doing things like producing a histogram or tracking the individual numbers for a given fund require that you be able to identify individual traders, which is generally not possible. Funds will route their orders through brokers specifically to anonymize them, often slicing a given order up into many sub-orders so that it can be spread across multiple brokers. The golden rule of the financial industry is to never ever let your competition know what you're doing; if it gets out that, say, Goldman Sachs is buying a whole lot of Google stock, you can bet that the price of Google will rise and it'll cost Goldman a whole lot more. When I was still tangentially involved in financial software, there was a lot of interest in algorithms that could heuristically identify possible actors based on patterns in the data, much like how Google identifies webspam or PayPal identifies fraud. I'm not sure how far this got, though, and obviously if some company succeeded in it, they wouldn't tell anyone. Actually, I kinda wonder if this is the sort of stuff Palantir is doing.

AndyParkinson 16y ago

Here's something that might help... According to http://www.nytimes.com/2010/05/07/business/economy/07trade.html http://www.nytimes.com/2010/05/07/business/economy/07trade.h... "In recent years, what is known as high-frequency trading — rapid automated buying and selling — has taken off and now accounts for 50 to 75 percent of daily trading volume." From what I've read, its gotten pretty ridiculous overall.

nostrademons 16y ago

You can get raw data from the NYSE TAQ database, as well as various resellers: http://www.nyxdata.com/Data-Products/Daily-TAQ http://www.nyxdata.com/Data-Products/Daily-TAQ However, doing things like producing a histogram or tracking the individual numbers for a given fund require that you be able to identify individual traders, which is generally not possible. Funds will route their orders through brokers specifically to anonymize them, often slicing a given order up into many sub-orders so that it can be spread across multiple brokers. The golden rule of the financial industry is to never ever let your competition know what you're doing; if it gets out that, say, Goldman Sachs is buying a whole lot of Google stock, you can bet that the price of Google will rise and it'll cost Goldman a whole lot more. When I was still tangentially involved in financial software, there was a lot of interest in algorithms that could heuristically identify possible actors based on patterns in the data, much like how Google identifies webspam or PayPal identifies fraud. I'm not sure how far this got, though, and obviously if some company succeeded in it, they wouldn't tell anyone. Actually, I kinda wonder if this is the sort of stuff Palantir is doing.