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dtcc_equity_kinetics_5day_rolling

dtcc_equity_kinetics_5day_rolling by DTCC

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 DTCC™'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


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.