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For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders with a trade direction. I've found LOBSTER so far, which has no MPID though, and tradingphysics, whose Times&Sales dataset would be perfect, if the MPID wouldn't be missing for most of the trades. In existig papers researches either use a special dataset which identifies HFT traders directly or use proxies to identify them. If you could give me a hint where to get such kind of data, that would be great.

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Many data feeds hide the MPID by default; the trader must specifically request that his MPID be displayed. Most traders want anonymity though, so they will keep their MPIDs hidden. – chrisaycock Sep 11 '13 at 13:11
@chrisaycock: thanks for the hint, where can I request such data that is supplemented with MPID (on demand). I understand the privacy issue, but the ID could be anonymized sice I'm only interested in the trading behaviour and not the ID itself. It's just a proxy to assign different orders to the same trader. – Arne Sep 11 '13 at 13:26
Even if you could get MPIDs, they might refer to the broker that submitted the order rather than the trader. That means you'll have one entity with seemingly contradictory strategies. Best bet is to forget about official identifications. Could you post a link to one of these papers that seemingly identifies the HFT? – chrisaycock Sep 11 '13 at 13:35
He's probably referring to the Kirilenko papers: reuters.com/article/2013/04/24/… – Louis Marascio Sep 11 '13 at 13:42
Also, to re-emphasize what @chrisaycock said: it is highly unlikely (near impossible) that you'll find an attributed data set worth anything. Even if you look at attributed orders in depth data, the MPIDs don't really tell you much since multiple traders can be behind a single MPID. Consider what you're asking: you don't care about the identity, just the behavior. Well, the behavior, not the identity, is what makes these traders money! Look for an alternate research route. – Louis Marascio Sep 11 '13 at 13:44
up vote 1 down vote accepted

Market participant ID data is extremely unlikely to be available without the collaboration of regulators and the exchange itself, as it is a closely guarded information. Even "anonymized" data with no reference to a specific firm could reveal private information to informed market participants. If obtained at all, it is likely to come with draconian restrictions on access, granularity and publication of results. For example, I know of an official sector researcher who had to keep his entire research project secret for over a year before the legal and regulatory hurdles were cleared even though he already had the data in his possession. Good datasets for any period of time greater than a day are also likely to be costly.

My advice to you is to contact someone who did research with similar data and find out if there would be a way to find access it in one way or another. Talk to professors in your institution, they may very well be in contact with someone who fits the profile.

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Thanks for your advice, that's exactly what I did and I was actually able to obtain a dataset from the exchange (which was used before, though). – Arne Sep 22 '13 at 17:04

I have a little experience with this. First, NASDAQ has shared a dataset with researchers that flags whether an HFT participated in each trade or not but not the actual MPID - probably less granular than what you want. You generally need a professor to "cosign" your request, write a brief project proposal, and sign an NDA to get it. They also have shared data with participant ids but this is more closely guarded, and I have heard that in one case the researcher had to be onsite to use it. Second, the CFTC has shared futures market data containing trader ids with researchers in the past, but this program is frozen and many projects that were in progress are now caught in limbo (you can find a few press articles on this). Finally, if ancient data from before HFTs existed would do you any good, you can get the NYSE TORQ database with no hassles. See http://people.stern.nyu.edu/jhasbrou/Research/WorkingPaperIndex.htm

Also, you mentioned that you were able to get similar data from an exchange, can you share any details?

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I contacted NASDAQ OMX on that problem and had to take the exact procedure you mentioned here. – Arne Sep 25 '13 at 7:56

https://mechanicalmarkets.wordpress.com/2015/02/16/protecting-client-interests-anonymity-in-us-equities/ does analysis similar to the question here. It examines the post-trade performance of orders grouped by their MPID (only UBSS and anonymous orders had enough data points to report). It also looks at market impact upon the addition of a new order. (Disclosure: I'm the author)

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