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Candlestick trade data is easy to get. I downloaded mine from my broker (Interactive Brokers) - they provide 1 second resolution if required. If you want individual trades rather than candles, then you'll need to purchase from a data provider. Level 1 NBBO I was unable to find any 'free'...

Thank you. I found the term "Cross Trade" on Investopedia which I think is a fitting description. Regarding question 3, what is the time limit imposed on the broker to report such a trade? What is a Lite exchange?

If my broker matches my order with an opposite order from another of its clients internally (without hitting any 3rd party Exchange or dark pool), what is this called? Is the broker effectively a dark pool? Who does it report the trade to? Does the broker have to report the trade within a...

I have tick data for backtesting. Each trade lists the Exchange on which the trade occurred. Here is the list of possible Exchanges: AMEX (NYSE MKT) NASDAQ OMX BX (Boston) National Stock Exchange (Cincinnati) ISE (International Securities Exchange) DirectEdge A DirectEdge X Chicago NYSE ARCA...

Exactly! I'm considering two strategies: 1) I'll get historical 5m candles from InteractiveBrokers, then run each trade against the High and Low of that 5m candle. Anything that falls outside the high or low I'll discard. 2) I'll run each trade against the Level 1 Quote data of the time and if...

The big advantage of Python is the business logic reads very clearly, and that is important when you're developing systems. You don't want the code and syntax to get in the way of actually doing the job. I've built my trading systems in Python using the following packages: Pandas (mainly for...

Tick Data specifies the Exchange where the trade took place. Should I exclude entries from certain Exchanges so I can obtain a match with IB and TV? If so, where can I get a list of the Exchanges I should include/exclude?

If you want 1 minute candlestick data, InteractiveBrokers is possible. If you exceed their request limits, they will issue a pacing violation which lasts a maximum of 10 minutes. So if you leave the system running for a few days it is possible to download a lot of data in that time and is good...

I've noticed data from Tick Data differs to TradingView and InteractiveBrokers. TV and IB match exactly, Tick Data has many differences each day. For example: AAPL, 2019-11-25 16:37:34 there are two trades on Tick Data that are not present on TV or IB: Price 264, Volume 40, Exchange: NASD ADF...