NASDAQ Historical TotalView-ITCH
- Thread starter torel
- Start date
Quote from torel:
Anyone pls?
I have been collecting them myself for years now. Are u looking for something in particular ?
many thx for the response.
I would like to have aggregated totalview data for some liquid stocks (aggregated volume for each price level) for backtesting and research purposes (market microstructures PhD topic).
As I saw nasdaq makes these historical data available only for redistributors for USD 1000 a month.
As I'm with IB, I only have access to Level 2 snapshots for a limited number of symbols - so buying these data seems to be a better solution for me than collecting them manually.
What data do you collect exactly? Which data provider?
I would like to have aggregated totalview data for some liquid stocks (aggregated volume for each price level) for backtesting and research purposes (market microstructures PhD topic).
As I saw nasdaq makes these historical data available only for redistributors for USD 1000 a month.
As I'm with IB, I only have access to Level 2 snapshots for a limited number of symbols - so buying these data seems to be a better solution for me than collecting them manually.
What data do you collect exactly? Which data provider?
Nasdaq Level 2 as you would get them from IB. Otherwise, I have books for futures on Globex (NQ and ES for example)
Happy New Year!