I've been looking for affordable data sources of long-term historical tick data, T&S data, and level 2 data for backtesting purposes. I used to use eSignal which worked well, but it's tick data only goes for 10 days so it becomes very limiting for certain strategies. I know that tick data and T&S data are probably accessable for longer periods, but I don't know of anyone that saves level 2 messages/data for review. I've made a couple programs to record ECN order data which is close, but I'd like to get more reliable and complete data. 1-min data is also acceptable, but I like to do functions based on the transactions.
For tick data, go here: tickdata.com For one-minute data, go here: http://pitrading.com/intraday_ascii_data_market_edition.htm You did not specify what you are trading (stocks, futures, forex), but this should get you started.
Do you think that it is worthwhile to store Level 2 data? I can do so for Island/INET and Arca exchanges, but I'm not sure if it gives a complete picture of the market action. Matching the state of the market with the completed transactions is necessary, but maybe that's too much data to be useful (less is more?). It seems essential for daytrading though...