Looking for a small sample of Level 2 data....

byteme · Dec 23, 2008

Hello all,

I have a small favor to ask. It seems that someone on this forum might be able to help out.

Can anyone attach a small sample of some data in CSV or other text format which meets the following criteria:

1) From a data feed that is NOT Interactive Brokers or OpenTick.
2) Shows as much as possible the fields received from the data feed provider.
3) Shows trades, level 1 and level 2.
4) For an instrument like ES
5) For at least 1 hour, preferably an entire session (but the file might be too big to attach).

If you are kind enough to provide said data, could you also tell me which feed provider it was from too!

Thank you in advance.

BMe.

byteme · Dec 24, 2008

No Christmas present for me?

Is there anyone that subscribes to level II who is not using IB or OpenTick?

Tums · Dec 24, 2008

There is no such thing as L2 in CSV.

jeb9999 · Dec 24, 2008

CME Group has free samples of market depth data.

http://www.cmegroup.com/market-data/datamine-historical-data/marketdepth.html

byteme · Jan 3, 2009

Quote from Tums:

There is no such thing as L2 in CSV.

Well, I guess it depends how you slice and dice the market depth events. That's basically what I'm trying to get to the bottom of.

Thanks anyway.

byteme · Jan 3, 2009

Quote from jeb9999:

CME Group has free samples of market depth data.

http://www.cmegroup.com/market-data/datamine-historical-data/marketdepth.html

Thanks Jeb,

I came across that before and it is part of the reason that got me on this road. I'm actually more interested in seeing the kind of data coming from data feeds like IQ feed or from brokers like MB or Genesis.

I want to see how they represent market depth data, how they consolidate it, what kind of events they broadcast, what data is lost along the way etc. For example, IB's data feed is snapshot only however for market depth events, it tells you the position in the book. Other feeds do not.

I'm trying to analyse the different ways that different providers broadcast market depth events and look at pros and cons.

Thanks again.

BMe.

burnbabyburn · Jan 3, 2009

PM me, I am a CME member, I can give you a hr snapshot of the "raw" Globex feed. It seems that will be what you are looking for.

burnbabyburn · Jan 3, 2009

Quote from byteme:

...

I took a look at the CME sample data. Good god, it is just the RLC book update messages published through Globex. In fact, RLC is the legacy format and will no longer be published by Q2 2009. Every system uses some consolidation mechanism to merge the updates into the ticker plant, then it is the ticker plant's choice as to how / when to publish the internal "snapshots".

For instance, it can choose to publish a "snapshot" on every Globex update, or publish one every second, etc, etc. For our own internal system, we made the choice to publish on every exchange update, that's all.

byteme · Jan 5, 2009

Quote from burnbabyburn:

I took a look at the CME sample data. Good god, it is just the RLC book update messages published through Globex. In fact, RLC is the legacy format and will no longer be published by Q2 2009. Every system uses some consolidation mechanism to merge the updates into the ticker plant, then it is the ticker plant's choice as to how / when to publish the internal "snapshots".

For instance, it can choose to publish a "snapshot" on every Globex update, or publish one every second, etc, etc. For our own internal system, we made the choice to publish on every exchange update, that's all.

Thanks for the info re: RLC messages. Have sent PM.

byteme · Jan 8, 2009

Quote from Tums:

There is no such thing as L2 in CSV.

FYI, came across this site that provides TotalView-ITCH data in several formats including CSV and XML.

You get 10 download credits for registering which is enough to get some samples.

It also has some interesting papers...will post to that other resources thread.

http://www.tradingphysics.com/