voigtstefan/sp500

Dataset Card for SPY ETF High-frequency data

This dataset was created by aggregating message-level observations for the ETF SPY which tracks the S&P 500 index. We retrieved and evaluate the entire available order book message history for the first 50 levels from July 1st 2007 to October 31st 2025. We restrict our analysis to order book activity during regular trading hours.

Dataset Details

Dataset Description

We aggregate the order book messages into the following variables, measured at 5 second intervals:

1. Initiator net volume (in million USD) which is the net of buyer and seller initiated shares transacted during the last 5-minute interval. We sign transactions as +1 if executed against a sell-side limit order and -1 if executed against a buy-side limit order. For execution against a hidden limit order, we impose the sign +1 if the transaction executes at a price that exceeds the last observed midquote and -1 if the transaction price is below the last observed midquote.
2. Trading volume (in million USD), which is the cumulative trading volume during each 5-second interval. We compute trading volume as the number of traded shares times the transaction price.
3. Bid-ask spread (in basis points), computed as the time-weighted average difference between the best prices quoted at the sell and buy side of the order book during each 5-second interval. We compute the bid-ask spread relative to the current midquote for every order book snapshot.
4. Depth measured as the number of posted shares in visible limit orders 5 basis points from the current best price on both sides of the order book. We take the time-weighted average depth during each interval to aggregate depth from message level into 5-second intervals.

• Curated by: Stefan Voigt (stefan.voigt@econ.ku.dk)
• License: MIT

Dataset Sources

More information on the dataset can be found in the paper "Market responses to a VIX shock" by Albert J. Menkveld, Nikolaus Hautsch, and Stefan Voigt.

• Repository: https://github.com/voigtstefan/market-responses-to-a-vix-shock

Citation

Please cite the paper "Market responses to a VIX shock" by Albert J. Menkveld, Nikolaus Hautsch, and Stefan Voigt when using our dataset.

BibTeX:

@unpublished{menkveld2026vix,
  author = {Menkveld, Albert J. and Hautsch, Nikolaus and Voigt, Stefan},
  title  = {Market Responses to a {VIX} Shock},
  note   = {Available at SSRN: \url{https://ssrn.com/abstract=6298780}},
  url    = {https://ssrn.com/abstract=6298780},
  year   = {2026},
  month  = feb,
  day    = {24},
}