levelII historical data

[fantastic]

Hi

I need to backtest some algorithms.
Any idea where I can find leveII historical data
covering at least 4/5 years? :cheesy:
Any market is of interest : at this stage - I only need to
check the limits of the model.

Thanks in advance.

 

[Jaydee]

The LSE offers it under the name Rebuild Order Book - it costs a lot of money though and it comes in raw data format on DVDs and CDs.

London Stock Exchange - Rebuild order book

 

[fantastic]

great ! Thanks a lot.

 

[silverness]

Any one tell me where get taping historical data?
thanks

 

[robrobrob]

Cheapest place I've found for level 2 historical data is nxcore. Its $100 for a month of historical data for all of CME and $250 a month for historical equities data.