Order ID or Broker information from TAQ or Limit Order book?

External question — Quantitative Finance Stack Exchange Author: Agrima Bahl Original post: https://quant.stackexchange.com/questions/21620 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Is it possible to see if a big order was executed in smaller chunks, and at what prices and times?

External answer — Quantitative Finance Stack Exchange Author: madilyn Original post: https://quant.stackexchange.com/a/21621 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. No, it is not possible. Order IDs are not created in any particular pattern that associate it to the specific party. On the other hand, while one can attribute a market participant ID (MPID), many participants use the same broker so the details are abstracted away.

External answer — Quantitative Finance Stack Exchange Author: Sander Schwenk-Nebbe Original post: https://quant.stackexchange.com/a/69433 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. This is now partly possible, particularly with accurate nanosecond matching engine timestamps (microseconds can also be sufficient) that are now available in NYSE TAQ data and similar data products. These were previously only available in proprietary data (which you may or may not have access to). Essentially, both the trades and quote updates triggered in execution of a marketable order are assigned exactly the same timestamp by an exchange's matching engine. See this blog post and this research article (disclaimer: I wrote the article). You cannot use this to trace a large order that is executed over time in smaller parts, but you can use this information to get the actual size of a marketable order that is executed against multiple passive (resting) orders. This happens very frequently. For instance, on Nasdaq, the majority (>50%) of trades reported in TAQ are only parts of larger marketable order executions.