Discussion in 'Data Sets and Feeds' started by Makis, Jun 13, 2013.

  1. Makis


    On an article posted on another ET thread I got to learn about MIDAS and how SEC is using it.

    I googled some more info on MIDAS and apparently it mines data that is available to everyone:

    Seems its input is not any 'top secret' data but just TAQ data. I would like to get opinions regarding what kind of data mining MIDAS does and what 'derived' data it may provide for analysis?

    Some things that come in mind are: message frequency, rates of quote placement and cancellations, bid-ask spread changes, quote and trade counts and aggregations of such variables on basic statistics such as variance, stdev, averages, medians etc..

    I could not find any specific info on MIDAS data and my imagination on that subject may not go far.
    Anyone has any experience or ideas on what data such tool may be able to produce?