I am a Ph.D. student and a U.S. institution and I am trying to find some information about this dataset.Many current published and working papers reference the NYSE's System Order Data (SOD) database.For example, Hendershott, Jones, and Menkveld (i.e. "Does Algorithmic Trading Improve Liquidity?", Journal of Finance 2011) state,QuoteIn the case of the NYSE, electronic message traffic includes order submissions, cancellations, and trade reports that are handled by the NYSE?s SuperDOT system and captured in the NYSE?s System Order Data (SOD) database. The electronic message traffic measure for the NYSE excludes all specialist quoting, as well as all orders that are sent manually to the floor and are handled by a floor broker.My research is similar to the paper above and, if at all possible, I would like to obtain access to this data as well.The authors obtained their data via NDA so getting it from them is out of the question. Also, the NYSE doesn't make this information available anymore.Does anyone have an idea of a similar dataset that has electronic trading messages?Thanks ahead of time.

sent you a PM. I know a bunch of people that have that data and I own some and have access to some - but it is protected under NDA's so not worth the risk to start giving it out.

I am a master student and am going to research the impact of algo trading on liquidity. I was wondering whether you have found the way to access NYSE System Order Data database. I would highly appreciate your help in this matter. Thanks in advance!

Have you looked at Nanex?