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?
http://www.nasdaqtrader.com/Trader.aspx?id=DataOnDemand This is one semi-solution, just posting it for reference.
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.