I'm looking to do a research paper on the impact of high frequency algo-trading on individual firms.
In order to do that I need to be able to determine firms that have been high frequency traded.
My plan is to find raw trade logs, and parse them looking for patterns which indicate that they are being algo-traded.
I have so far been unable to find these logs for any major US exchanges
Does anyone know where I can find these logs?
* Edit *
I will ultimately be doing an OLS regression to determine what affect being algo-traded had on these firms
If anyone knows another way to determine if a security has been algo-traded that would also be greatly appreciated