Data from OpenBook Ultra, BATS, NASDAQ ITCH

Discussion in 'Data Sets and Feeds' started by lolatency, Jun 22, 2009.

  1. I need 1 day's slice of data from these feeds, but don't actually need the subscription. Anyone willing to be my friend here? I'm going to go begging as an academic, but perhaps some of you can lend a hand.

    Format should just be a raw binary dump of the UDP datagrams on a given day in their original format with the original timestamps.

    The next best thing I can do is pimp Genesis' feed, but 1) I know they drop packets sometimes, and 2) they don't give the original exchange timestamps to the highest precision possible.
  2. byteme


    Not sure if this is what you are looking for but there are/were some sample ITCH files at Nasdaq:

    Look under the cunningly named ITCH folder.
  3. Problem is that I need the OpenBook and BATS data from the same day as that sample.