Talked with an SEC guy at a conference one time, they have access to every order that touches any American exchange (filled or not) in a huge data warehouse, apparently most of this detection is just a series of SQL queries.
You can buy access to every trade being made (executed or not), but it won't have the information the SEC has like your name attached to it or if it was an opening or closing trade.
you can find this information online, trades (orders after they have been completed) are "public knowledge".
insiders are required to report their trades (search for "sec Edgar").
it is hard to make money knowing that a trade has taken place.. you need to know BEFORE and this is clearly illegal with very serious penalties (martha stewart served jail time...).
