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.
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
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.
Yes indeed. There is a western paper which uses order data, albeit trader identification was removed.
It is obviously this one:
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.