SEC Order Execution
SEC Order Execution is the SEC-mandated disclosure of order execution statistics from market centers that trade national market system securities. Further information can be found on the WRDS website (see links below).
Securities Exchange Commission-mandated Disclosure of Order Execution Statistics (through 2005 only) are available to NYU via WRDS. The WRDS website has a query page and documentation for each field of the data. The WRDS linux server (wrds.wharton.upenn.edu) has SAS datasets in /wrds/doe/sasdata.
SEC Rule 11Ac1-5
WRDS Introduction (includes how to get an account)
WRDS Website (to request an account or to login)
WRDS Without Account (on public terminals in Bobst Library)