Dataset
Documentation
Sample Dataset
Millisecond CBBO
Description
A millisecond view of the consolidated order book aggregated by price level with up to 10 levels of depth.
Format Available

API

SFTP (Parquet)

Snowflake

Trades
Description
Trade by trade dataset, normalised across all venues
Format Available

SFTP (Parquet)

Snowflake

Daily Classified Trades
Description
Trade information across all equity exchanges, trade reporting facilities, MTFs and Approved Publication Arrangements (APAs) in a simple, normalised format aggregated daily per symbol. It provides a simplified view of trading volumes across multiple trading systems.
Format Available

API

SFTP (Gzipped CSV)

Snowflake

Level 2 Quotes
Description
A tick-by-tick view of the order book, aggregated by price level with up to 10 levels of depth. It provides an in-depth understanding of historical market activity, enabling users to make more informed trading decisions.
Format Available

API

SFTP (Parquet)

Snowflake

Intraday Analytics
Description
Metrics derived from level 3 order and trades data, sampled over the day and delivered as an overnight daily file. It provide detailed insight and understanding of the full depth orderbook, without having to directly pull, manage and query petabytes of level 3 data.
Format Available

API

SFTP (Gzipped CSV)

Daily Analytics
Description
Daily metrics derived from level 3 order and trades data. It provide detailed insight and understanding of the full depth orderbook, without having to directly pull, manage and query petabytes of level 3 data.
Format Available

API

SFTP (Gzipped CSV)