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First, have a look at Market Microstructure in Practice (Laruelle et L) to have generic explanations about all this. In short: Equity markets are fragmented: it means to buy or sell shares, you connect (via a broker) to a server on which you send a message with a side (buy or sell), a max/min price and a quantity. these servers are technically matching ...


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When an exchange (or ECN) receives an order, there is no identifier of the buyer or seller. Therefore the only place that this is available is at the broker themselves. No broker would be willing to provide this information even on an anonymized basis and it would be a violation of other laws and regulations (such as Regulation S-P). ...



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