Where can I buy a 1-5 days worth of NASDAQ/BATS/DirectEdge multicast feed data?

Discussion in 'Data Sets and Feeds' started by clearinghouse, Nov 14, 2010.

  1. I just need a 3-5 days or so worth of packets for a symbol or two to do some research with, but there doesn't appear to be a place where I can just pay and download the information. I looked at TradingPhysics.com, but their ITCH packets look broken or non-standard. Are there any other sites that sell the original, scrubbed, loss-free datastreams in a file?
  2. In what way do the TP ITCH packets look broken? I ask because I've considered using them in the past and, for testing, it seems economical.

    One thing I realized when I looked at their data is that, if you want to develop a picture of what the current L2 data is at a certain time, you have to keep track of all the add/delete order messages.
  3. You may want to try a firm called Tickdata.com. I called once to purchase a batch of data on EDGX however at that time DirectEdge was not part of an exchange (they are now). As I recall they did have access to the other exchanges, so Nasdaq and BATS are probably available. Hope that helps.