Historical Book Order Information Data Source

Discussion in 'Data Sets and Feeds' started by cheers, Sep 25, 2010.

  1. cheers


    I am looking for historical book order information (including limit orders) for individual us equities.

    Is there a place where i can get the data for a low cost or even free samples?
  2. jharmon


    One of the issues that you will have is that US equities trade on multiple exchanges... so the you really need all order books on a synchronized timestamp to analyze things properly.

    Many of the exchanges now sell this for a pretty penny.

    However, you are talking a huge ship load of data here. NYSE stocks Open Book data amounts to 5GB. Per day :confused: