Historical Level 2 Equity Data

March 14th, 2012, 08:49 PM

Hi All,

This is my first post and I couldn't find the answer to this anywhere on the site, if you find it don't hesitate to point it out. Just as an FYI for my platform I use DTN IQ feeding into matlab which sends trades to IB.

I'm currently looking to hone a system using market depth however I am looking for a good source of historical level 2 data.

As of right now the best source of historical I have found is Historical Tick Data | Entire Market Packages | Daily Updates | Automated Trader Magazine, however at 6 grand for 1 year I need to make some more money before that happens.

The other vendor I'm in talks with is dxFeed Market Data - DXFeed Historical Tick Data Replay and Analysis, however I'm not sure if they offer level 2 historical data.

I'm currently using DTN IQ who does not provide historical level 2 data.

If I can't find a good source I'm instead going to test by paper trading the same system on the current market to hone in a strategy.

Any other thoughts or opinions on how to get access to historical level 2 would be much appreciated.

Thanks for the help,
Dylan

August 25th, 2012, 05:47 AM

Hi Dylan, did you end up finding a decently priced historical data provider? I'm doing the same search myself right now.

August 25th, 2012, 12:31 PM

Here is a link to the same question asked on quantitative stack exchange - there is a range of good answers

Historical [AUTOLINK]Level 2[/AUTOLINK] Data (Market Depth) - Quantitative Finance [AUTOLINK]Beta[/AUTOLINK] - Stack Exchange

Historical Level 2 Equity Data

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Historical Level 2 Equity Data