I'd like to find references on statistics regarding transactions that
occur in the US equity markets.  I'm looking for info on the number of
transactions regarding trades and quotes for the NYSE, Nasdaq, and
AMEX markets.  Such statistics would be the number of trades and
quotes that occur on average and on peak days.  What are the number of
transactions that occur per market per year?  What are the average
number of shares per trade?  What are the peak transaction periods per
second and how long do such peaks last?  Thanks, Nick

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Request for Question Clarification by tar_heel_v-ga on 13 Dec 2002 11:43 PST

Your question is very interesting and I have done some research,
however, I have a question.  By quotes, do you mean the times people
looked at or requested pricing?  If that is the case, that number will
be impossible to ascertain.  The others, however, (trade/transactions,
etc) I can provide.

-THV

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Clarification of Question by ndj-ga on 13 Dec 2002 12:17 PST

You are correct in that the number of quotes provided for current
price info is difficult or impossible to ascertain.  When I refer to
quote I am meaning when a formal offer to buy or sell a security has
been submitted to a market or ECN.  This quote amounts to a limit
order having been submitted.  Many such "quotes" are entered but do
end up converting to actual trade transactions; of course, some do. 
This information is called Level II data in regards to Nasdaq stocks.

Dear ndj,

You requested information about references on statistics regarding
transactions that occur in the US equity markets.  I have found some
good sources, most of which are even free (to my great surprise!), and
I believe that among them these sources cover everything you are
looking for (although the average number of shares per trade will
require that you actually carry out the mathematical calculation).  If
there is anything else you expected to see as a response to this
query, please request a clarification and I will be more than glad to
perform additional research as required.

Most all of this information is available directly from the exchanges.
 Since the NASDAQ had merged with the AMEX in 1998, reports available
from NASDAQ also cover AMEX – nevertheless, there is some additional
independent AMEX data that I will address below.


NASDAQ
********

The NASDAQ Monthly Market Data page is at –

http://www.marketdata.nasdaq.com/mr_outline3.asp

This page provides free access to a wide variety of information about
the NASDAQ market, as well as comparables to AMEX and NYSE.  Reports
that may be accessed from here include the following –


Market Activity & Performance:
 
*** Summary Statistics - Comparing Three Markets - NASDAQ, NYSE, and
Amex-

http://www.marketdata.nasdaq.com/asp/Sec1Summary.asp

Note that you can request comparables for any month from January 1998
to August 2002.

*** Summary Statistics - Comparing the NASDAQ to its National Market
and Small Cap Market

http://www.marketdata.nasdaq.com/asp/Sec1FiveYrs.asp

Any month from January 1999.

*** Share Volume - Average Daily Share Volume for NASDAQ/Amex 

http://www.marketdata.nasdaq.com/asp/MaShareVol.asp

Allows the creation of volume charts from January 1999 and on.

*** Share Volume - Yearly Share Volume for NASDAQ/Amex/NYSE 

http://www.marketdata.nasdaq.com/asp/Sec1VolComp.asp

Shows annual share volume from 1975 or for the last five or ten years;
data available as graph or table.

*** Dollar Volume - Average Daily Dollar Volume for NASDAQ/Amex 

http://www.marketdata.nasdaq.com/asp/MaDollarVol.asp

Available from January 1999.

*** Block Volume - Block Volume and Block Trades for the NASDAQ
National Market

http://www.marketdata.nasdaq.com/asp/Sec4BlockVol.asp

See block volume – annually from 1994 to 2000, and monthly from
January 2001.

Other statistics about issues and companies can be accessed from –

http://www.marketdata.nasdaq.com/mr_outline3.asp

Including statistics on -
+ Total Initial Public Offerings on NASDAQ, NYSE, and Amex 
+ NASDAQ ADRs and Foreign Securities 
+ Number of Listed Companies 
+ Monthly Change in the Number of NASDAQ Companies 
+ Market Quality (Summary Spread and Other Statistics for the NASDAQ
National Market and the Small Cap Market


The NASDAQ Report Source, located at –

https://www.nasdaqtrader.com/easp/reportsource.htm

Can provide you with for-fee data on the following – daily issue data,
daily MP position, inside quotes, MMPMR, MMPMR Plus, time & sales, and
trade & quote summaries.  Daily data is available from 2/3/1995. 
Sample reports can be seen here –

https://www.nasdaqtrader.com/easp/reportsource.htm


NYSE
*****

The NYSE provides a couple of wonderful reports in .pdf format that
include records and annual data for a very large number of variables. 
The first, which also includes a timeline of the NYSE (just in case
you’re interested!) is at –

http://www.nyse.com/pdfs/2001_factbook_11.pdf

The second includes a summary of market activity –

http://www.nyse.com/pdfs/2001_factbook_02.pdf

I’d download these, because you never know when someone will decide to
pull the plug on free access to such intensive data!

The NYSE also provides yearbooks that summarize activity for every
given year.  Links to these yearbooks can be found at –

http://www.nyse.com/factbook/


AMEX
*****

Some additional AMEX data is available at –

http://www.amex.com/atamex/aboutAmex/dailyStats/dailystatistics.htm

However, you should be able to extract most AMEX data from the NASDAQ
site.

I hope this response adequately addresses your request.  In the event
that it does not, please let me know if you are in need of additional
information – and I will be more than happy to pursue such information
for you.

Thanks,
ragingacademic


Additional Links:

Nice presentation on the markets from Prof. Mayes at Metro State

http://clem.mscd.edu/~mayest/FIN3600/Files/FIN3600_5.ppt


Search Strategy:

“AMEX statistics trades quotes”
“NASDAQ statistics trades quotes”
“NYSE statistics trades quotes”

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Request for Answer Clarification by ndj-ga on 16 Dec 2002 10:10 PST

Thanks for the pointers to the information.  I've found the number of
shares traded and the average size per trade thus I can calculate the
average # of trading transactions.  I've seen the # transaction peak
per highest hour.

However, I don't see the number of orders or as I termed it "quotes".

In addition, I don't know what the peak # trades and orders are per
second.

I'm designing a computer system and need to be able to engineer it to
handle the peaks.

Thanks

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Clarification of Answer by ragingacademic-ga on 16 Dec 2002 12:56 PST

ndj -

Thanks for requesting a clarification.

First, quote data is available from the for-fee NASDAQ site I had
cited -

https://www.nasdaqtrader.com/easp/reportsource.htm

Specifically, when you are on the above cited page, select "Trades and
Quotes" from the drop down menu, then click on the "View Shopping
Cart" button (or just hit enter).

A description of the data as provided on the site is as follows -

"Monthly Trade and Quote Summary Report displays a daily summary of
the trading volume and quote information for a selected security and
calendar month."

There are sample reports, but they are not coming up online just now.

I have not been able to identify a free source for this data (you did
not require free data, but I'd much rather find you free data!)

Let me dig around some more for the "per second" data.  I can't
identify a statistical source, but I'll try and find a reference that
at least refers to the peaks, which is what you would want for
software testing purposes.

thanks again,
ragingacademic

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Clarification of Answer by ragingacademic-ga on 22 Dec 2002 17:20 PST

ndj -

Just wanted to let you know I am still on the prowl for this data.
Have requested help from a couple of contacts as well.

Hope to have a source soon.

thanks,
ragingacademic

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Request for Answer Clarification by ndj-ga on 22 Dec 2002 23:01 PST

Thanks for doing the research.  I ordered a report from Nasdaq but the
result wasn't what I'd hoped.  All my inquiries to Nasdaq have been
unanswered to date both in voice mail messages left and emails.  My
question to them will be what report gives me what I want.  So, if you
got any ideas I'd appreciate it.  Meantime, I've contacte Reuters to
see if they can tell me.  I'll let you know what I find out from them.
 Regards, Nick

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Clarification of Answer by ragingacademic-ga on 27 Dec 2002 16:16 PST

ndj -

Here's some data I hope will help some, at the very least!

First, the following article contains per second data from the Hong
Kong futures exchange -

http://www.hkex.com.hk/news/futuresnews/m080499.htm

But - you wanted NASDAQ data, right?! Well...take a look at page 40 of
the following report!  Peak per second data for both trades and quotes
-

http://www.nasdaqtrader.com/trader/hottopics/SuperMontage/smpresentation.pdf

Deutsche Borse, which makes trading software for some of the biggest
European exchanges (Frankfurt, for example), reports that its Xetra
software can handle up to 60 trades per second -

http://deutsche-boerse.com/INTERNET/EXCHANGE/zpd.nsf/Web+Publikationen/HAMN-52FE64/$FILE/DB_Systems_1997_E.PDF?OpenElement

Finally, according to the following -

http://www.nse-india.com/archives/news/newsSEP2001.pdf

The Indian stock market's peak is just over 100 trades per second.

Have you had any luck contacting NASDAQ thus far?

thanks,
ragingacademic