Historical Time & Sale Level 2 Data Source?

This is a discussion on Historical Time & Sale Level 2 Data Source? within the Data Feeds forums, part of the Methods category; I know this might be a long shot, but does anyone know where I'd be able to find historical time ...

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Old May 2, 2014, 1:42am   #1
 
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Historical Time & Sale Level 2 Data Source?

I know this might be a long shot, but does anyone know where I'd be able to find historical time & sale level 2 data?

What i'm looking for is the time & sale (including some sort of brokerage ID) data that I see intraday but in a historical tabled format for a whole day with the broker IDs in tact as well - preferably for the NYSE or NASDAQ.

I'm hoping to use it for some testing purposes.

Thanks,
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Old Dec 27, 2015, 3:18am   #2
 
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Originally Posted by nubsauce View Post
I know this might be a long shot, but does anyone know where I'd be able to find historical time & sale level 2 data?

What i'm looking for is the time & sale (including some sort of brokerage ID) data that I see intraday but in a historical tabled format for a whole day with the broker IDs in tact as well - preferably for the NYSE or NASDAQ.

I'm hoping to use it for some testing purposes.

Thanks,
It will not be for free anywhere. In the unlikely event that you do find such a place, please do share with the rest of us.

I do know that the NYSE does offer a service geared towards what you want. I am certain that this is exactly what you want. However, I would venture to say that the NYSE was the first place you looked. I can only assume that this is why you are asking here, i.e., for a cheaper alternative. I would imagine the NYSE holds all the rights to their data. There is unlikely to be another service like theirs due to legal issues. They charge for a distribution license, so if someone was offering it for free, they would be in breach of contract. It is exorbidantly expensive.

NYSE Market Depth (This is for all NYSE equities except for NYSE MKT, NYSE Arca and AMEX)
http://www.nyxdata.com/Data-Products...grated-History
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Old Dec 29, 2015, 1:42am   #3
 
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Originally Posted by qtrader44 View Post
After further research we found

AlgoSeek.com. They have full level 2 data but only for Nasdaq, Bats, ARCA, EDGA/X. Reasonably priced and data is matched our collected data.

TickData.com Have the consilidated but not the full depth.

Reuters. Too expensive.
How is algoseek cheaper? Do you only want level 2 for certain equities? You are still paying thousands for less quality data. I was unaware that you only needed OHLC data.
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