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Stocks Weekly LiquidityMarketOpportunity
Weekly measurements of displayed liquidity and market opportunity for US equities.
507,891 rows over 13,116 symbols, 19 columns, covering 2023-11-27 to 2026-07-03. Refreshed monthly.
Why It Matters
This dataset integrates liquidity constraints into trading system design by:
- Execution planning: Liquidity and opportunity metrics inform venue routing, order slicing, and slippage assumptions.
- Capacity checks: Weekly aggregates help size positions for intraday and swing strategies without exceeding market depth.
- Signal conditioning: Adjust model outputs by liquidity availability to avoid trading illiquid names.
Load It
Installation/Upgrade:
pip install --upgrade pwb-toolbox
Load the Dataset:
from pwb_toolbox import datasets as pwb_ds
df = pwb_ds.load_dataset("Stocks-Weekly-LiquidityMarketOpportunity", symbols=["AAPL"])
print(df.iloc[0, :])
Example Output:
symbol AAPL
datetime 2023-11-27 00:00:00
missed_liquidity 7329076
exhausted_liquidity 1681740
routed_liquidity 182015
volume_opportunity 9192832
average_daily_vol 4650741.0
rolling_daily_vol 4650741.0
buy_pressure_log 0.043455
buy_pressure_pct 0.407939
missed_liquid_pct 0.79726
exhausted_liquid_pct 0.18294
vol_uncaptured 0.5
retail_pressure 0.871567
institutional_pressure 0.713661
algorithmic_pressure 0.705546
retail_institute_ratio 1.221261
algo_institute_ratio 0.988629
retail_algo_ratio 1.235307
Columns
| Column Name | Description |
|---|---|
| symbol | Stock ticker. |
| datetime | Week-ending date (YYYY-MM-DD). |
| missed_liquidity | Volume of liquidity not captured. |
| exhausted_liquidity | Volume of liquidity exhausted. |
| routed_liquidity | Volume routed elsewhere. |
| volume_opportunity | Total volume opportunity measured. |
| average_daily_vol | Average daily volume baseline. |
| rolling_daily_vol | Rolling daily volume measure. |
| buy_pressure_log | Log-transformed buy pressure metric. |
| buy_pressure_pct | Percentage-based buy pressure metric. |
| missed_liquid_pct | Percentage of liquidity missed. |
| exhausted_liquid_pct | Percentage of liquidity exhausted. |
| vol_uncaptured | Share of volume left uncaptured. |
| retail_pressure | Retail participation pressure metric. |
| institutional_pressure | Institutional participation pressure metric. |
| algorithmic_pressure | Algorithmic participation pressure metric. |
| retail_institute_ratio | Ratio of retail to institutional pressure. |
| algo_institute_ratio | Ratio of algorithmic to institutional pressure. |
| retail_algo_ratio | Ratio of retail to algorithmic pressure. |
Access
Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: what each plan includes. The same subscription covers the other datasets in this organisation.
Elsewhere
- Dataset page and coverage charts
- The strategy catalogue, 3,806 papers and 4,837 replicated strategies
pwb-toolbox, the loader used in the snippet aboveawesome-systematic-trading, the replicated strategies with their measured Sharpe- Every dataset in this organisation
Papers With Backtest publishes 32 datasets on the Hub and codes the papers that use them. Every strategy in the catalogue is run over its own full history before it is published, which is where the numbers above come from.
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