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Is it possible to get real-time NASDAQ limit order book data feed somewhere?

I would need a stream of the limit order book data, preferably something similar to:

enter image description here

Along with the respective events which triggered each limit order book change?

enter image description here

I would need an API which I could poll or eventually receive a PUSH event at least once a second or eventually any time an event occurs. Is this even possible whereas not having millions to be spent on a fees?

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  • $\begingroup$ I believe, NASDAQ feed is considerably less than $1M. You can also get it from fintech providers, but it won't be free either way. $\endgroup$
    – LazyCat
    Commented Feb 21, 2018 at 20:29

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You can get streaming data of Nasdaq TotalView. Note that it contains full market depth, similar to your second image, not just N first levels as on your first image.

Check Bookmap. It's a data visualization and trading platform. It receives Nasdaq data directly through dxFeed / Devexperts. Currently you can only view it and trade. But soon it will be possible to get real-time "non-display" data through API and also historical data.

I work at Bookmap, but I'm truly not aware of any other data vendor that provides that quality of market depth data for a price, which is lower than most of low quality retail data vendors of level 1 data only. In fact, we did this research before connecting to dxFeed. Here are few visual examples.

The green and red lines are Best Bid and Best Ask accordingly. White line on the first image is last price. Green and red dots are Volume Dots, illustrating executions of Buy and Sell orders accordingly. And the Heatmap represents the market depth - see its colormap on the toolbar.

Edit: "non-display" data isn't actually available with a regular data subscription. It would cost several thousands USD per month.

200 price levels of AAPL observing market maker at TWTR

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  • $\begingroup$ Why? Non-professionals are exempt. See sec.gov/rules/sro/nms/2017/34-82071.pdf In order to correct misinformation regarding the applicability of the Non-Display Use and access fees, the Participants believe that it is important to clarify that Non-Professional Users are not subject to Non-Display Use, access, or device fees, regardless of the type of data product they receive. Rather, as provided for on the Fee Schedules, the only charge applicable to Non-Professional Users is the $1.00 monthly charge and this charge is applicable to any use of the data by a Non-Professional $\endgroup$
    – crow
    Commented Jul 18, 2019 at 5:34
  • $\begingroup$ @Serg: Does BookMap sell level 1 quote data ( best bid/best offer ) for different equity markets ? Thanks. $\endgroup$
    – mark leeds
    Commented Jul 21, 2019 at 4:29

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