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I cannot find any vendor that sell the full depth order by order data historically. I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can buy it ?

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For NYSE EuroNext data I think this is the page to start at.

This seems to be what you are after here

There are sample files provided here showing hte format of their many historical data sets.

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  • $\begingroup$ I will call them back and keep u posted, brilliant answer thank you $\endgroup$ – statquant Jul 11 '14 at 16:16
  • $\begingroup$ They are NOT selling the data anymore... just unbelievable... any other idea ? $\endgroup$ – statquant Jul 15 '14 at 15:43

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