Institute for the Study of Security Markets (ISSM)

Access

  1. Wharton Research Data Service (WRDS)
  2. The files can be found in Q://RESEARCH_DATA/ISSM.

    Documents

    • The data is documented in Q://RESEARCH_DATA/ISSM/Documentation.
    • Sample SAS input statements, which must be incorporated in a complete SAS program, can be found in Q:RESEARCH_DATAISSMsas.
    • Notice that the data has some periods where data is missing although the exchanges were open. The file Q:RESEARCH_DATAISSMMissingmissing_days shows what days are missing.

    Overview

    The Institute for the Study of Security Markets (ISSM) database contains tick-by-tick data covering the NYSE and AMEX between 1983 and 1992, and NASDAQ between 1987 and 1992. Each year of data is divided into two files, one for trades and one for quotes. Data available under consolidated trades: actual trade per share, trade condition code, originating exchange, present exchange, numbers of shares traded.

    Data available under consolidated quotes: bid price, offer price, bid size, offer size, sale condition code, originating exchange, present exchange.