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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

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  • $\begingroup$ You're looking for companies listed on exchanges that compete at high frequency trading levels? I guess you could look at the (NYSE, say) listings directory. nyse.com/listings_directory/stock but I wonder if your question is more about replicating their trade book? $\endgroup$ – Autolatry Jan 19 '15 at 13:44
  • $\begingroup$ @Autolatry no, he's basically looking for market data to try to infer which trades were performed by an algo-trading firm. $\endgroup$ – SRKX Jan 20 '15 at 1:16
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If you're looking for all transactions against any or a given set of securities on whatever exchange, you can get that from a data provider like IQFeed or eSignal. Most of them will have tick level data going back for at least several weeks.

Some people have been collecting tick and market data for quite sometime against a variety of securities, and as such have pretty vast databases that are used for data mining, analytics, and the testing of new strategies. Some of these databases go back several years.

Those data sets are quite large, computationally intensive, and a big part of the profitability for that organization. I really can't imagine anyone parting with them, and we're talking about ~10GB a day depending on how much data you want (market depth, which exchanges, which securities, etc). So easily into the multiple TB of data range.

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    $\begingroup$ And they probably won't give the data for free. $\endgroup$ – SRKX Jan 20 '15 at 2:31
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I dont think any of the algo traders publish their logs, you should contact an algo trading company and inform them that you would like to write a paper and ask them if they can provide you some anonymized data.

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  • $\begingroup$ By algo-trading company you mean a broker right? Some company that allows trader to trade at HF? $\endgroup$ – SRKX Jan 20 '15 at 1:16
  • $\begingroup$ I have a feeling that providing the level of details the question is looking for would be enough to reverse engineer the alpha model. Odds are extremely slim of anyone helping to provide that info. $\endgroup$ – Eric Jan 20 '15 at 1:43
  • $\begingroup$ I'm looking for a transaction log from the exchanges $\endgroup$ – Dan Green-Leipciger Jan 20 '15 at 10:49

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