Take the tour ×  Say I have access to logs of all trades
executed on an ECN with the price maker and taker named.  These
traders are only executing some of their flow on this ECN
(anywhere from 5%-80% of their volume). I do not have any
information about their trades done elsewhere, so I can not say
for sure what their positions are and therefore what their P&L
is.  But I can still get an idea of who is buying low and
selling high. Is there any standard approach or literature on
how to analyze the profitability of an incomplete set of trades
like this?  share|improve this question What feed names all of
the makers and takers? Even the MPID doesn't tell us much of
anything because of sponsored access. –  chrisaycock Aug 4 '12
at 18:14 It's actually an OTC market, so I know everything about
the individual entities and can link them to their trades. – 
user2303 Aug 4 '12 at 20:07 Ah, that makes more sense. The only
thing we exchange-traded guys can see is the occasional 13F,
which doesn't list the dates of a tra