Free Level 2 Data Stream

Discussion in 'Data Sets and Feeds' started by BinaryMan, Feb 5, 2007.

  1. I wrote a program to communicate with the ARCA openbook data server. It can record an unlimited number of symbols at whatever rate your connection can handle it. On my home system, I can get a snapshot of the marketplace for each stock every 3 to 3.5 minutes (~4500 symbols, a smaller list will update quicker). I can adjust it to examine less traded stocks less often, boosting the speed for the remaining stocks. This data includes the best bid/ask and up to 40 price levels per side. It's not true Level 2, but it is free. I also have a program to playback the data in realtime or at an accellerated rate.

    Is this sort of data useful for anyone to find market data patterns? It's potentially a bit better than Level 1 data I think. If the limit order volumes affect the market at all, it might be an advantage.