Dataset
Documentation
Sample Dataset
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
SFTP
S3
Azure Storage
Snowflake
Level 3
- Description
- Every insert, modify, execute or delete order book message, available at a T+1 basis at tick level granularity.
- Format Available
S3
Azure Storage
Trades
- Description
- Trade by trade dataset, normalised across all venues
- Format Available
S3Â
SFTP
Azure Storage
Snowflake
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
SFTPÂ
S3
Azure Storage
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
S3
Azure Storage
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
CloudQuant
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
S3
Azure Storage
Snowflake