Can I get this data?

Hi

I'm a physics student with no financial background. I have recently come across an algorithm which I believe could be of some use in trading. The problem is I don't know if the data the algorithm requires is public or private. I need data of individual trades that happen on the market - ideally a list of all the trades that occurred during a days trading. Who bought, who sold, the quantity and the price. Is this information available, if so how do I get it?

Apologies if I'm being stupid - any help is much appreciated.

 

You can't see who bought and who sold but pretty much any data provider will give you time and sales (price and quantity).

 

Does this mean there is know way of knowing which companies own shares in other companies?

 

Onweship changes real time in the stock market. If you ahev an idea, just sketch it and people here will tell you if it is going to work. I suspect what you are thinking is a mirage, just like physics.

 

Any person/fund/group with over 5% (I m not sure) needs to declare and becomes a public information. You can ususally get this info any broker or even on Yahoo.

 

Thanks jokepie, I checked this out, is this as detailed as it gets?

I understand that ownership changes real time in the stock market, indeed this is exactly what I'm trying to exploit. What I want to know is if there is any way of tracking this ownership in real time.

If physics is a mirage, then human imagination must be the desert.

 

What you're looking for is counter-party data, which is not available. It would be very useful to us all.

 

that would be great. in one of my first interviews (option market making in mid 90s) the guy asked me what do you do if goldman is buying on the offer?

 

Wow. Good one.

 

SEC 13F is filed quarterly by funds. Any fund managing $100 million or more is required to file, whether or not ownership exceeds 5%.