Discussion in 'Automated Trading' started by trend2009, Feb 7, 2020.
I need level 1 data which should includes NBBO, trades and timestamp.
Historical data of what?
Stocks, options, futures, forex, others?
For how far back?
1 year, 1 month, 1 day?
Tick, minute, hour, eod?
level 1 historical data,including NBBO bid and ask, plus trades.
Candlestick trade data is easy to get. I downloaded mine from my broker (Interactive Brokers) - they provide 1 second resolution if required. If you want individual trades rather than candles, then you'll need to purchase from a data provider.
Level 1 NBBO I was unable to find any 'free' sources, so I purchased mine from tickdata.
CheckQuantpedia’s list of historical data providers. There are a lot of options you may choose from …
Separate names with a comma.