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).
ecurities 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 cloud (wrds.wharton.upenn.edu) has SAS datasets in /wrds/doe/sasdata.