Order book tick data

[robthequant]

Where can I get my hands of some quality L2 order book tick data?

Market replay would be great.

I am using nanotick, are there any other solid sources?

Any market.

 

[They]

You could try these guys...

 

[jelite]

Nanex (if it still exists) sells historical 'tapes'-full order book data for US futures (I think they also do options). Their quality should be very good. There are not that many options for reliable (i.e. complete, and correctly sequentially ordered) data.

 

[qlai]

Why don't you just capture it yourself? CME data is not expensive and you should have enough in three months to know if it's worth buying more.

 

[robthequant]

Why don't you just capture it yourself? CME data is not expensive and you should have enough in three months to know if it's worth buying more.

I'll probably do that. thanks