Where can I get Level 3 stock data?

Discussion in 'Automated Trading' started by llag, May 18, 2020.

  1. llag

    llag

    Hi All,

    I am wondering whether can someone point me into the right direction to source some historical Level 3 data. Ideally, I am keen to explore stock data from emerging markets so I interested more from stock exchange from Russia, Turkey, South Africa and Israel.

    Thanks
     
  2. jharmon

    jharmon

    Too illiquid
     
    llag likes this.
  3. Buying direct from exchanges can be a good choice as 3rd party data is often flawed in numerous ways. Go to their websites and look for historical data.

    You will be looking at several thousands or even tens of thousands of dollars per year for this data. It is gigantic in size (gigabytes per day) and will require significant skill to extract anything useful from it.

    Note that level 3 is not a technical term, and they may not know what you're talking about if you ask for this. What you are looking for is usually called "orderbook" or "full depth", "depth of book" etc.

    I am not familiar with the foreign markets you mentioned, but if they are fragmented across multiple exchanges like US markets are, then you need to be careful. If you only have the book for one exchange out of many, it can make the information useless.
     
    llag, qlai and TooEffingOld like this.
  4. llag

    llag

    Thank you for your suggestions ! I thought that it will be easier to receive data feeds from only one data provider as it will have common figures however it will added to the cost
     
  5. llag

    llag

    any recommendation for historical full depth data provider is welcome!