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Say I want to buy historically recorded raw feed from an European exchange (say LSE). Is there a vendor that would sell me this data ?

EDIT: By raw feed I mean the order by order feed (or equivalent) that would enable me to build the entire book at any point in day.

Cheers

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  • $\begingroup$ What is wrong with the vendors you found when you searched? You did search, didn't you? ;) $\endgroup$ – Joshua Ulrich May 19 '14 at 12:50
  • $\begingroup$ Hi Joshua, I did not find any, I want the historical order by order feed right ? $\endgroup$ – statquant May 19 '14 at 19:03
  • $\begingroup$ I have no idea what you want. "Raw feed" is vague. Do you want quotes, trades, both? If you want quotes, do you want top-of-book, depth (how much?), etc? $\endgroup$ – Joshua Ulrich May 19 '14 at 19:06
  • $\begingroup$ I edited my OP . $\endgroup$ – statquant May 20 '14 at 7:14
  • $\begingroup$ Presumably "raw feed" means the depth of book data one would consume if co-located? $\endgroup$ – Louis Marascio May 20 '14 at 16:47
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You can buy data directly from every exchange I've looked at. LSE sells data as well right here on their webpage

Sounds like you're looking for their Trade Data product which includes order book information: "Provides an end-of-day download file of the day's Order Book activity, including all trades, orders and deletions in Order Book securities since October 1997..."

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  • $\begingroup$ I'll have a look at that, for some reason I heard before the exchange could not deliver it!!! thanks $\endgroup$ – statquant May 20 '14 at 16:54
  • $\begingroup$ Is the resolution of the time stamps provided by the exchanges (such as LSE using the link above) sufficient to reconstruct the actual chronological sequence of orders/trades? I am referring to the presence of HFT that pushes the needed resolution to fractions of milliseconds. $\endgroup$ – PlutimusPaduster May 20 '14 at 19:34

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