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Are there any data sources where I can get the timestamps of individual trades/transactions? I'd like them to be at the second level or even the millisecond/nanosecond level. Ideally, the trades would also be linked to anonymized user names too. Is there a name for this type of data?

I have found very broad questions about data sources, but none about this specific type of data, or at least the proper term for it for a newcomer.

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  • $\begingroup$ Its called tick-data and you can get it from various sources - Bloomberg, Reuters, the respecitive exchanges, ... Note that user/broker IDs are typically not available. $\endgroup$
    – LocalVolatility
    Feb 17, 2019 at 17:23
  • $\begingroup$ I’m a newbie, but isn’t tick data about prices, which are the result of many transactions, but not the transactions themselves? I’m looking for the trades themselves. $\endgroup$
    – user3433489
    Feb 17, 2019 at 19:43
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    $\begingroup$ Tick-data usually means that you will get one entry per transaction. When e.g. a new order hits the resting bids/asks in the order book causing multiple executions at the same price, you'd see each of these partial executions as one trade. Timestamp resolution depends on the exchange the the larger ones do provide nanosecond resolution. $\endgroup$
    – LocalVolatility
    Feb 17, 2019 at 19:58

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Data that includes the names of the parties is definitely not freely available, only exchanges would have it and they will share it only with their regulators.

Regarding data without names, that is called tick-data as LocalVolatility states. To the best of my knowledge, you need to pay for this data.

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