SEC-mandated Disclosure of Order Execution StatisticsLocation: Wharton Research Data Services (WRDS
"[M]arket centers that trade national market system securities must make monthly, electronic disclosures of basic information concerning their quality of executions on a stock-by-stock basis, including how market orders of various sizes are executed relative to the public quotes and information about effective spreads - the spreads actually paid by investors whose orders are routed to a particular market center. In addition, market centers must disclose the extent to which they provide executions at prices better than the public quotes to investors using limit orders." Data available until 2005.
George Washington University faculty members and graduate students may set up individual WRDS accounts. George Washington University faculty members may also set up accounts for their classes. In order to request a WRDS account at no cost to you, please go to http://wrds.wharton.upenn.edu/