Is there any chance to get order data from any broker with a label from which account it came from?
The accounts can be anonymized, i just need to identify an account's orders sent.
Any help will be appreciated.
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$\begingroup$ It's possible but won't be easy. I remember reading a market impact estimation paper that used Citi's execution data. $\endgroup$– HelinJul 1, 2015 at 4:24
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$\begingroup$ I am voting to close this question because @LocalVolatility closed mine $\endgroup$– JordanBelfJul 14, 2017 at 0:20
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4 Answers
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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). https://www.law.cornell.edu/cfr/text/17/part-248/subpart-A
FINRA has a whole stack of documents relating to Customer Information Protection and broker requirements in this area: http://www.finra.org/industry/issues/customer-information-protection
answered Jul 1, 2015 at 1:10
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1$\begingroup$ Whilst the FIX protocol allows allow for the account number to be included in an order message, it is entirely optional. All that the broker has to do is provide a unique order number which is linked at the broker's back end office infrastructure to a particular account. onixs.biz/fix-dictionary/4.3/msgType_D_68.html $\endgroup$ Jul 2, 2015 at 0:21
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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.
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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.
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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 science at the University of Toronto, and Chee Thum, Emmanuel Hauptmann and Hong Li are senior analysts at Citigroup Global Quantitative Research in New York and London.