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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 Feb 21 '18 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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