Free Equities SEC Rule 605 Stock Database

Per Rule 11Ac1-5, the SEC mandates market centers that trade national market system securities to submit monthly electronic reports. We have gathered that messy data into one easy to use database for you. To query it, download the .duckdb data file, install qStudio and then open the .duckdb file. The .duckdb file can also be queried easily from python.

Contents

  1. Example Analysis
  2. Opening Data
  3. Data Sources
  4. File Structure
  5. Summary

Example Analysis

GME Trades January 2021 Trades January 2021

These screenshots are from Pulse, Pulse is a tool to create interactive data applications quickly.

Opening Data

To open the data:

  1. Download rule605.duckdb (2.7GB)
  2. Download qStudio Free SQL IDE
  3. Open qStudio and go to the File Menu -> Open Database (shown in image below)
  4. Enter a query into the editor, highlight the query, then press Ctrl+E to run that code
open DuckDB File Windows Query SEC 605 Data

Data Sources

The data was downloaded from the following data sources:

605 File Structure

Reports for Rule 605 always have the SEC documented file structure

The below example in particular shows Citadel trades for (202401) January 2024 for the ticker AA with each row recording a different orderType/orderSize combination.

ColumnTitleDescription
1 participantIdParticipant ID(Amex - "A"; BSE - "B"; CHX - "M"; CSE - "C"; NASD - "T"; NYSE - "N"; PCX - "P"; Phlx - "X".)
2 marketIdMarket Center ID
3 monthCalendar Month("yyyymm")
4 tickerSecurities Ticker
5 orderTypeOrder Type Code("11"; marketable limit orders - "12"; inside-the-quote limit orders - "13"; at-the-quote limit orders - "14"; near-the-quote limit orders - "15".)
6 orderSizeOrder Size Code(The order size codes are as follows: 100-499 shares - "21"; 500-1999 shares - "22"; 2000-4999 shares - "23"; 5000 or more shares - "24".)
7 numCoveredOrdersNumber of Covered Orders
8 tsCoveredOrdersTotal shares of covered orders (TSoCE)
9 tsCancelled TSoCE cancelled prior to execution
10 tsExecutedCentreTSoCE of covered orders executed at the receiving market center
11 tsExecutedOtherTSoCE of covered orders executed at any other venue
12 tsExec9TSoCE (0 - 9 seconds after receipt)
13 tsExec29TSoCE (10 - 29 seconds after receipt)
14 tsExec59TSoCE (30 - 59 seconds after receipt)
15 tsExec299TSoCE (60 - 299 seconds after receipt)
16 tsExec30mTSoCE (5 minutes - 30 minutes after receipt)
17 avgRealizedSpreadAverage realized spread for executions of covered orders(expressed in dollars and carried out to four decimal places)
18 avgEffectiveSpreadAverage effective spread for executions of covered orders(expressed in dollars and carried out to four decimal places)
19 tsExecAtImprovementTotal shares of covered orders executed with price improvement
20 swAvgPerShareImprovementShare-weighted (SW) average amount per share that prices were improved(expressed in dollars and carried out to four decimal places)
21 swImprovementExecDelayTimeShare-weighted average period from the time of order receipt to the time of order execution(expressed in number of seconds and carried out to one decimal place)
22 tsExecAtQuoteTotal shares of covered orders executed at the quote
23 swAtQuoteExecDelayTimeShare-weighted average period of time from the time of order receipt to the time of order execution(expressed in number of seconds and carried out to one decimal place)
24 tsExecOutsideTotal shares of covered orders executed outside the quote
25 swAvgPerShareOutsideShare-weighted average amount per share that prices were outside the quote(expressed in dollars and carried out to four decimal places)
26 swOutsideExecDelayTimeShare-weighted average period of time from the time of order receipt to the time of order execution(expressed in number of seconds and carried out to one decimal place)

See Also