Why Broker-Customer Order Identifiers Are Generally Unavailable
Summary
The discussion asks whether broker order records can be obtained with anonymized identifiers linking orders to individual accounts. The response explains that exchanges and electronic communication networks do not receive buyer or seller account identities, so the broker is the party that could connect an order to a customer. It argues that brokers generally cannot share those records, even in anonymized form, because of customer privacy obligations and regulation.
The replies mention academic studies that used broker-provided order data, including a reported dataset of US stock orders handled by a bank's equity desks over a historical period. They clarify that such data was not publicly available and that at least one study removed trader identities. These examples show that proprietary datasets can support research, but they do not establish a public source or a practical access route. The regulatory explanation is asserted in the discussion, not developed as a detailed legal analysis.
Key ideas
- Exchanges and electronic communication networks generally do not receive customer account identifiers with orders.
- A broker may be able to link orders to customers, but customer confidentiality rules limit disclosure.
- Academic research has used proprietary broker order datasets, sometimes with trader identities removed.
- The examples do not provide a public source or a method for obtaining account-linked order records.
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Full text
# How can one get broker order data? # How can one get broker order data? Is there any chance to get order data from any broker with a label from which account it came from? The accounts can be anonymized, i just need to identify an account's orders sent. Any help will be appreciated. ## Answer by Richard at NorgateData (score 1) https://quant.stackexchange.com/a/18604 When an exchange (or ECN) receives an order, there is no identifier of the buyer or seller. Therefore the only place that this is available is at the broker themselves. No broker would be willing to provide this information even on an anonymized basis and it would be a violation of other laws and regulations (such as Regulation S-P). https://www.law.cornell.edu/cfr/text/17/part-248/subpart-A FINRA has a whole stack of documents relating to Customer Information Protection and broker requirements in this area: http://www.finra.org/industry/issues/customer-information-protection ## Answer by Tomas Pazur (score 0) https://quant.stackexchange.com/a/18608 I've read a paper from an asian institute on trader's profitability. Unfortunately I can't find it anymore. They had such order data. Maybe it is easier to get such information in less regulated markets. However, I couldn't find anything useful there yet. ## Answer by Helin (score 0) https://quant.stackexchange.com/a/18618 I dug around and there's indeed an old publication on Risk.net written by a university professor that uses Citi's data: > The data set on which we base our analysis contains, before filtering, almost 700,000 US stock trade orders executed by Citigroup equity trading desks for the 19-month period from December 2001 to June 2003. ## Answer by Tomas Pazur (score 0) https://quant.stackexchange.com/a/18619 Yes indeed. There is a western paper which uses order data, albeit trader identification was removed. It is obviously this one: http://www.cims.nyu.edu/~almgren/papers/costestim.pdf Unfortunately, this data wasn't public. The co-authors were senior analysts at Citi: > Robert Almgren is associate professor in the departments of mathematics and computer science at the University of Toronto, and Chee Thum, Emmanuel Hauptmann and Hong Li are senior analysts at Citigroup Global Quantitative Research in New York and London.
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