Historical bid/ask data?

Discussion in 'Data Sets and Feeds' started by thehimalayas, Apr 15, 2011.

  1. Are there data sources (preferably free) that show historical bid/ask data for the day? FreeRealtime.com used to offer this data under "Time & Sales" until a few months back, but all they show now is executed trades. See for instance:

    Used to be that this page would show historical bids and asks as well before. I do not remember the exact format, but it was something like this:

    Time Price Size Exchange Action
    19:59:51 546.60 200 BLAH {Bid or Ask or Sale}

    So it also shows when the bid came in, and when a corresponding ask or trade happened.