Historical Consolidated Order Book Data

Modified on 2011/08/15 02:04 by Administrator — Categorized as: Feeds

One of the key reasons traders seek complete order book data from BATS, Direct Edge, NASDAQ TotalView, NYSE Arca, & NYSE OpenBook is to construct a consolidated order book that gives insight to the entire market for each security. Yet, given the disparity in formats, message codes, and processes, building such a book can be a daunting task.

Trading Physics is here help! Our consolidated order book incorporates data from these vital exchanges and makes historical data available from 2008.

BATS	=
Direct Edge		Trading Physics Consolidated Book
NASDAQ
NYSE ArcaBook
NYSE OpenBook