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We are looking for historical overnight stock data of large US stocks and it's main indexes for a thesis project. While some websites offer partial data, such as nasdaq offering the last 100 trades, none of them offers historical information on i.e. 1min or 5min time frames.

We've been looking at both open and commercial parties but haven't spotted any with this kind of data - is it even available? If so, where can we find it?

Thanks in advance!

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You may contact the people at lobsterdata.com. They reconstruct the limit order books from NASDAQ ITCH-Totalview data, which includes all Level III messages passing through NASDAQ electronic trading platform (in general, from 2:00 am -- 8:00 pm). Good luck!

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