Level 2 tick data

I am looking for historical level 2 tick data (for index futures, stocks or commodities). I cannot find anything, not a single sample to get me started. The data providers like do not seem to have any offerings for level 2 data. By level 2 data I mean order book data (not just the best bid/asks) and market maker identification.

Note that I am just looking for a small amount of data (few days or even less) to get me started. I am not ready to blow up the bank to get it.

 

I believe with Nanex/NxCore you can buy as little as one day's worth of Level I and Level II data.

 

DTN/IQFeed offers it

I'm a subscriber and download levelII tick data all the time.

 

Thanks for the pointers, but neither seems to be what I'm looking for.

It seems both Nanex and DTN are proprietary Windows data feeds that need Windows computer for the DLL interface. Neither of these sites even provide the pricing information. So I need an extra computer, Windows license, data provider subscription and a lot of time to develop the needed code to pull the data from the DLL-API. All this for is highly unnecessary for getting the raw data.

 

just curious-how one can store L2 data? cause the data itself kinda like a table already

 

Its going to be very expensive. Its cheaper to start recording your own data.

 

The data can be (depending on provider) as simple as this:

Single ticks which have values for
price, volume, bid or ask flag, time stamp

and for stocks also
market maker id


It is the software that may bring it into the form of a table.

 

(I do not know why my reply does not show up, so I will post it again)

Thanks for the pointers, but neither seems to be what I'm looking for.

It seems both Nanex and DTN are proprietary Windows data feeds that need Windows computer for the DLL interface. Neither of these sites even provide the pricing information. So I need an extra computer, Windows license, data provider subscription and a lot of time to develop the needed code to pull the data from the DLL-API. All this for is highly unnecessary for getting the raw data.

 

oh ..i see..basically you have to record every change on each side in L2 (which is probably at least x10 more active than L1 and then it is up you,how you going to present captured data. ok..i got it..

Thank you!

 

CME DataMine has Globex market depth data, but it is not cheap. And you have to recreate the DOM from the data.

http://www.cmegroup.com/market-data/datamine-historical-data/datamine.html