NYSE ARCA DATABASE

Contents

• Availability
• Description
• Vendor information
• Accessing Arca data

Availability

NYSE Arca data is available to faculty and doctoral students. It consists of two separate datasets: ArcaBook and ArcaTrade. Our sample covers September and October of 2008.

Description

ArcaBook provides the complete limit order book for NYSE Arca ECN trading in listed (NYSE, NYSE Amex, Nasdaq, and NYSE Arca) securities, as well as the ArcaEdge (OTCBB) platform. NYSE Arca is the 3rd largest marketplace in the U.S. All messages in ArcaBook are time-stamped to a millisecond.

ArcaTrade provides information on all NYSE Arca trades. Each ArcaTrade message includes an actual trade direction indicator, as well as an identifier allowing to match execution messages with the corresponding limit book entries in ArcaBook.

Vendor information

New York Stock Exchange, Inc.
NYSE Market Data Services
11 Wall Street, 21st Floor
New York, NY 10005

Accessing NYSE Arca data

• NYSE Arca data is available to Northwestern faculty and students at the Social Sciences Computing Cluster in directory /sscc/datasets/arca
• The data is provided in gzipped .csv format. See Online documentation for details.
• Sample SAS code: arcabook.sas arcatrade.sas
• Other market microstructure data available at Kellogg: NYSE TAQ data; CME Selective Time and Sales data; LIFFE Tick data; ISSM (NYSE, AMEX and Nasdaq data from 1983 through 1992) data