I want to assess the impact of order size on the NYSE and Nasdaq opening cross. To do this accurately requires the order book. This would include all market and limit orders. It looks like Nasdaq's TotalView and NYSE's OpenBook might provide this information. NYSE charges a small fortune for OpenBook ($2k/month) and even then I'm not sure OpenBook provides the market orders. TotalView appears to be much cheaper, but I won't know until (and if) Nasdaq responds to my inquiry. Does anyone know of non-exchange sources for this data?
i am facing the same probleme as you do can you please let me know if you have found any answer to this issue regards