Daniel Preve and Yiu-Kuen Tse, "Estimation of Time Varying Adjusted 
Probability of Informed Trading and Probability of Symmetric Order-Flow 
Shock", Journal of Applied Econometrics, Vol. 28, No. 7, 2013, pp. 1138-1152.

The intraday data used in the article were extracted and compiled from 
the NYSE Trade and Quote (TAQ) Database provided through the Wharton 
Research Data Services (WRDS):

  https://wrdsweb.wharton.upenn.edu/wrds/  

We retrieved data from the Consolidated Trade (CT) file as well as the 
Consolidated Quote (CQ) file. From the CT file, we downloaded the data 
for the date, trading time, price and number of shares traded for each 
stock in our study. From the CQ file, we downloaded the data for the 
offer and bid prices. The data sets used consist of high-frequency 
transaction data for the stocks of IBM, GE, PG, and WMT over the period 
Jan 1, 2005 through Dec 31, 2007, covering 754 trading days.

The data are not allowed to be redistributed. However, the databases on 
WRDS can be accessed by researchers whose organization maintains a 
license agreement with WRDS and with the appropriate data sources.

Please address correspondence to

Yiu-Kuen Tse
School of Economics, 
Singapore Management University
90 Stamford Road
Singapore 178903, Singapore

yktse[AT]smu.edu.sg.