New answers tagged broker
Yes indeed. There is a western paper which uses order data, albeit trader identification was removed. It is obviously this one: http://www.cims.nyu.edu/~almgren/papers/costestim.pdf Unfortunately, this data wasn't public. The co-authors were senior analysts at Citi: Robert Almgren is associate professor in the departments of mathematics and computer ...
I dug around and there's indeed an old publication on Risk.net written by a university professor that uses Citi's data: The data set on which we base our analysis contains, before filtering, almost 700,000 US stock trade orders executed by Citigroup equity trading desks for the 19-month period from December 2001 to June 2003.
I've read a paper from an asian institute on trader's profitability. Unfortunately I can't find it anymore. They had such order data. Maybe it is easier to get such information in less regulated markets. However, I couldn't find anything useful there yet.
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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