TRTH

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Abstract
Tick History is a historical market data service, offering global intra-day Time and Sales, Quotes, and Market Depth content dating back to January 1996 for an extensive range of equities, indices, foreign exchange, money, fixed income, and derivatives instruments. Designed for customers requiring content to back-test automated and programmatic (algorithmic) trading models and perform historical quantitative research, as well as clients with compliance or transaction cost analysis needs.
Research Area
Financial Markets
Systemic Risk Lab
Keywords
dark trading, fragmentation, anonymity, immediacy, circuit breaker, volatility interruption, volatility, liquidity, market design, market fragmentation, high-frequency trading, stock market, regulation, trading volume, liquidity provider incentives, transaction costs, competition, price efficiency, dark pools, mifid ii, double volume caps, monetary policy surprises, equity premium, fund flows, portfolio rebalanc- ing, price pressures
JEL Classification
G10, G12, G14, G15, G18, G28, G19, E44
Working Paper References
Topic
Consumption
Saving and Borrowing
Trading and Pricing
Publication Type
Research Data
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Attribution-ShareAlike 4.0 International
Except where otherwise noted, this item's license is described as Attribution-ShareAlike 4.0 International