NASDAQ Historical TotalView-ITCH

Discussion in 'Strategy Development' started by torel, Dec 20, 2006.

  1. torel

    torel

    Where are these data available for a non-pro or researcher?

    thx,
    torel
     
  2. torel

    torel

    Anyone pls? :confused:
     
  3. I have been collecting them myself for years now. Are u looking for something in particular ?
     
  4. torel

    torel

    many thx for the response.

    I would like to have aggregated totalview data for some liquid stocks (aggregated volume for each price level) for backtesting and research purposes (market microstructures PhD topic).

    As I saw nasdaq makes these historical data available only for redistributors for USD 1000 a month.

    As I'm with IB, I only have access to Level 2 snapshots for a limited number of symbols - so buying these data seems to be a better solution for me than collecting them manually.

    What data do you collect exactly? Which data provider?
     
  5. Nasdaq Level 2 as you would get them from IB. Otherwise, I have books for futures on Globex (NQ and ES for example)
     
  6. Happy New Year!