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NYSE ARCA DATABASE
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.
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.
New York Stock Exchange, Inc.
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