Historical Bid x Ask, sorted by Exchange

Discussion in 'Automated Trading' started by clearinghouse, Nov 14, 2010.

  1. This is mildly related to the other question I posted, but different enough to where I thought it deserved its own thread.

    Are there any sites that sell accurate historical bid x ask data with exchange (microsecond level) time-stamps intact?
  2. dinn13


    If milliseconds is ok then you can go with taq data http://www.nyxdata.com/Data-Products/Daily-TAQ

    But for microseconds the only option is the historical itch data from nasdaq which you can get data for nasdaq/bx/psx granted i assume you'd only want nasdaq ( http://www.nasdaqtrader.com/Trader.aspx?id=ITCH ). None of the other exchanges offer finer granularity than milliseconds.

    They also offer some order book data http://www.automatedtrader.net/tick_data.xhtm

    If you want microseconds across exchanges then you'd probably have to capture the data yourself live.
  3. The CME has the goods, but won't be free.