Melbourne Trade & Liquidity Library (MeTLL):
MeTLL is a daily database for Australian listed equities and exchange-traded funds trading on both the Australian Securities Exchange (ASX) and Cboe Australia. It provides three types of daily data:
Daily trading measures such as open and closing prices, returns, volumes traded and VWAP;
Daily order book measures constructed from underlying trade and quote data, including liquidity, volatility and price efficiency metrics;
Trading activity measures by trade type and venue.
The daily data are created using the London Stock Exchange Group (LSEG) Datascope Select product which includes an end of day data set and transaction-level data set (tick history). The database is only available to University of Melbourne researchers with ongoing permission to access the LSEG Datascope Select product.
Access: Contact me via email.
Stock liquidity file: here
DTF Workshop Code: here
OHR Roll-out Schedule (csv file): here
AAPL CRSP Returns (csv file): here
Fama French risk free rate (csv file): here