Dataset Name: dtcc_equity_kinetics_5day_rolling
Group: altdata
Vendor: DTCC
Data Starts at: 2011-12-02 00:00:00
Data Currently Ends at: 2021-03-19 00:00:00, contact sales for full data set.
Symbol Set: US Equities
Asset Class: Equity
Data Update Frequency: day
DTCC Equity Kinetics 5 Day Rolling Dataset
DTCC Equity Kinetics enables users to view, track and analyze aggregated U.S. equities trade volumes over time and in the context of broader market activity.
DTCC Equity Kinetics facilitates analysis of U.S. equity market activity, by providing a 5 day Rolling dataset containing aggregated trade activity that has been cleared through DTCCâ„¢´s National Securities Clearing Corporation (NSCC) subsidiary, summarizing activity from the five prior trading days. Delivered on T+1 prior to market opening.
About DTCC Equity Kinetics - part of DTCC Data Services
The DTCC Equity Kinetics service provides summary aggregates of U.S. equity market activity using data for activity that has been cleared through DTCC’s National Securities Clearing Corporation (NSCC) subsidiary. This service delivers aggregated and anonymized volume reports and other metrics in individual securities, segregated by trade side.
The service includes three time periods of aggregation:
- Daily (buy/sell/short sell/short sell exempt)
- Intraday
- Five-Day
The Daily and Five-day aggregate reports summarize activity from the five prior trading days, respectively. Both are delivered on T+1 prior to market opening. The intraday report summarizes trade information from the beginning of the trading day until 12:45 PM. The intraday report is delivered by 3:00 PM ET (US) on the same day. The Daily and Five-Day Aggregates are available to all subscribers of Equity Kinetics; the Intraday Aggregates are an optional, additional subscription.
Dimensions
The DTCC Equity Kinetics service can enhance a firm´s understanding of the U.S. equity markets along several dimensions:
- U.S Equities Market – All NSCC Activity: Equity Kinetics reports show all trading volume cleared through NSCC.
- Most-Active Brokers – Tier 1: Equity Kinetics shows the prior day’s trading volume (by security) for the ten most active brokers. This data is aggregated and anonymized.
- Peer Group – Global Brokers: The Equity Kinetics service creates a fixed anonymous peer group of nine global broker dealers and provides a view into this group’s daily activity by security and transaction type.
The aggregations are derived from key fields in NSCC’s Universal Trade Capture (UTC) system, by trade side. This data is then used to compute volume, broker count, VWAP concentration, and the top three anonymous market shares. The aggregation is created for all equity activity and individual sub-aggregates.
Data Contained in this Dataset
| Column | Type | Description |
|---|---|---|
| _seq | uint | Internal sequence number used to keep data rows in order |
| timestamp | string | Timestamp of the Data - America/New York Time. |
| muts | uint64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. |
| symbol | string | Trading Symbol or Ticker |
| Trade Date | string | Trade Date |
| Trade Side | string | Trade Side |
| CUSIP | string | Committee on Uniform Security Identification Procedures identifier owned by American Bankers Association operated by Standard and Poor´s, requires CUSIP license. |
| Ticker | string | Ticker symbol associated with this message or row of data. |
| Industry Volume | uint64 | Industry Volume |
| Industry VWAP | double | Industry VWAP |
| Industry Broker Count | uint64 | Industry Broker Count |
| Industry Concentration | double | Industry Concentration |
| Industry Broker Rank1 | double | Industry Broker Rank1 |
| Industry Broker Rank2 | double | Industry Broker Rank2 |
| Industry Broker Rank3 | double | Industry Broker Rank3 |
| Tier1 Volume | uint64 | Tier1 Volume |
| Tier1 VWAP | double | Tier1 VWAP |
| Tier1 Unique Brokers | uint64 | Tier1 Unique Brokers |
| Tier1 Concentration | double | Tier1 Concentration |
| Tier1 Broker Rank1 | double | Tier1 Broker Rank1 |
| Tier1 Broker Rank2 | double | Tier1 Broker Rank2 |
| Tier1 Broker Rank3 | double | Tier1 Broker Rank3 |
| GBDA Volume | uint64 | GBDA Volume |
| GBDA VWAP | double | GBDA VWAP |
| GBDA Broker Count | uint64 | GBDA Broker Count |
| GBDA Concentration | double | GBDA Concentration |
| GBDA Rank1 | double | GBDA Rank1 |
| GBDA Rank2 | double | GBDA Rank2 |
| GBDA Rank3 | double | GBDA Rank3 |
| Ref Code | double | Ref Code |
NOTE : CloudQuant can also provide analytics services on this dataset.
Important Dataset Notes
This dataset is not available for direct online purchase. Please contact sales directly at sales@CloudQuant.com. The data is available through our normal sales department who can provide you with current pricing and a quote for accessing this valuable dataset. This may be due to a number of reasons such as dataset intended use, size of the company (or investment fund) using the dataset, or for simple legal requirements that CloudQuant needs to ensure are in place prior to licensing the dataset to you.