Historical Time & Sale Level 2 Data Source?

Feb 9, 2011
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#1
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,
 

hhiusa

Well-known member
May 5, 2015
2,623
130
73
#2
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/NYSE-Integrated-History


...................

 

hhiusa

Well-known member
May 5, 2015
2,623
130
73
#3
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.
 

erjcan

New member
Feb 11, 2018
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#4
thank u for posting it here. We all have same questions!

it's 2018 now and i was looking for same thing - historical time&sales.

Mike Bella who wrote a famous book for prop traders "one good trade" told that

"tape goes before chart, chart is always lagging behind the tape",

but getting this skill is extremely hard, it takes YEARS to get it right!

so I wanted to "speed up" my experience by mimicking old day trading session on 4-5x speed to accumulate more experience faster.

I even bought forex tester3 - a speed replay of past forex market software.

Alas, the post above shows me that historical time&sales is FREAKING EXPENSIVE!

thanks! this is what forums are good for - finding answers quickly. my search is over now!

historical time&sales is too expensive for retail trader
 

Brumby

Well-known member
May 25, 2012
600
136
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#5
thank u for posting it here. We all have same questions!

it's 2018 now and i was looking for same thing - historical time&sales.

Mike Bella who wrote a famous book for prop traders "one good trade" told that

"tape goes before chart, chart is always lagging behind the tape",

but getting this skill is extremely hard, it takes YEARS to get it right!
Is your effort on historical data predicated upon a quote from a trading book? i am not denigrating the value of the book as I have in my collection both of Bella's books. However I would caution a belief foundered on some quotes. If you are going to embark on something substantial it would be prudent to be at least based on something substantial. A house build on sand would not last. I am not saying that your belief is based on sand but I am asking whether it is.