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Let's say there's a sample stock, XYZ, that trades on NYSE (or maybe NASDAQ). I can look at the historical data for it (from any number of websites) to see its volume and OHLC data for any given time period, down to the individual minute.

But what I want to see is a list of all the trades that actually occurred during that minute, with the price and quantity of each one, and possibly even which broker/market maker was involved with the trade. Presumably the exchanges themselves have a detailed record of every trade they've ever executed, but I imagine they don't provide this information to the public (or at least not to retail investors like me). (I've been led to believe that sometimes trades are executed within a broker if the broker has two clients whose orders match up, and such trades never actually go to the exchange.)

I know order books are a thing, but it's my understanding that they only show pending orders, not a list of completed transactions.

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    $\begingroup$ Why do you want to see all trades for a stock? What is you objective? (All trades for all stocks for just 1 day is an enormous amount of data BTW. It is not something you can casually "look at" to satisfy your curiosity. It is a "big data" project to extract info from megabytes or gigabytes of data). $\endgroup$ – noob2 Aug 24 '20 at 3:08
  • $\begingroup$ I want to be able to visualize the moment-by-moment changes to the pending sets of orders and how that affects the price. I realize it's a lot of data and it's why I would look at one single stock, not all of them. $\endgroup$ – dirtside Aug 24 '20 at 13:15
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    $\begingroup$ "visualize the moment-by-moment changes to the pending sets of orders and how that affects the price". OK, that is market micro-structure research, the professors who do this kind of research (Maureen O'Hara, Larry Harris, etc.) use the TAQ database mentioned below (among other resources). They also get data from the exchanges directly (eg the incoming orders). en.wikipedia.org/wiki/Market_microstructure $\endgroup$ – noob2 Aug 24 '20 at 15:00
  • $\begingroup$ Can confirm @noob2 's comment (except no hyphen after "micro" :-). I used TAQ (and a few other sources) for my research; saw it constantly at conferences; and, used and use it in industry. As was pointed out, block trades, weighted-average trades (usually VWAP), and prior-reference-price trades get reported later; however, you can't participate in those as retail; you have no idea when they occur during the day; block trades are largely being replaced by VWAP trades; and, VWAP trades are composed of trades that you do get a record of across time. So... I would not worry about block trades. $\endgroup$ – kurtosis Aug 25 '20 at 1:43
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It sounds like your best bet is to get data from the consolidated tape system. Tape A covers NYSE-listed securities; Tape B covers AMEX-listed securities; and, Tape C covers Nasdaq-listed securities. Tapes A and B are overseen by the Consolidated Tape Association; and, Tape C is overseen by the Nasdaq/Unlisted Trading Privileges Plan. Data from these three tapes is available in Daily TAQ.

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  • $\begingroup$ A college or university near you should have axcess to Daily TAQ, it is widely used in finance research. $\endgroup$ – noob2 Aug 23 '20 at 2:38
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    $\begingroup$ @noob2 If OP is university-affiliated... maybe. Most schools have TAQ through WRDS and WRDS accounts are usually locked down tight because they do cost money. TAQ is the data source most heavily-guarded at all the institutions I know or have been employed by. $\endgroup$ – kurtosis Aug 23 '20 at 4:36
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No, the problem has to do with block trades. Imagine you place a day order to purchase 10,000 shares of ABC, limit 100.

Sellers come along offering 98.00x100, 99x100 100x100, 101x500, 102x1000 and all future prices are above 102.

Now, also imagine that your order was taken "off the tape," so that quotations continue properly. Your order was made up of 98 and 100. The tape, if all trades filled and ignoring the effect of the bid and ask, would be 99x100, 101x500,102x1000, and so forth. At some point, the dealer would report 99x200 later in the day. That is the weighted average of the trade. The tape would reflect the time of the report and not the time of the trade.

Historical trades are not reported in the chronological order they happened, nor by the parts that made up the trade, but instead, by the order in which they were reported at their weighted average. Also, if the open, high, or low were part of a block trade, then their value gets weighted and so the true high and true low may be different than the reported high or low.

Imagine the true low price was 7 but it was part of a block trade and the next highest trade was for 7.10 which was part of a round lot, then the "low" on the ticker would be 7.10 even though the true low was 7. I have paid less than the low and more than the high in trades before, but they were part of a block so they didn't get their own record.

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I've been led to believe that sometimes trades are executed within a broker if the broker has two clients whose orders match up, and such trades never actually go to the exchange.

If you are referring to crossed trades, the execution does indeed take place off exchange but it must be reported to the exchange.

But what I want to see is a list of all the trades that actually occurred during that minute, with the price and quantity of each one, and possibly even which broker/market maker was involved with the trade.

It's neither an elegant solution nor a complete one but my broker offers offers time and sales for as much as several years of trading. Capturing the data could require some skills because the amount of trades for one minute of an illiquid stock is quite different than that of an AAPL or GOOG. If this is part of a larger scale backtesting idea then this isn't viable. But for a specific one minute look/see, it's not only easy but it's free.

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