I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By layers I mean market depth, with layer 1 being the top-level quote in queue.

The level 2 is the one offered by data.nasdaq.com. Here is a little picture

enter image description here

So I have the bid, ask, the number of orders, number of shares, the time, I can aggregate them by price as well.

I have implemented a discrete actor-critic model.

  • $\begingroup$ could u describe what the 120 layers are for this level 2 data? and which mathematical models do you plan to test with the level 2 data? $\endgroup$ – develarist May 27 at 12:40
  • $\begingroup$ @develarist I have updated the question. Let me know if you need me to add some more details. $\endgroup$ – jgauth May 27 at 13:10
  • $\begingroup$ so by layers u mean market depth, with layer 1 being the top-level bid/ask limit order in queue? i see time in the far right column, what do u mean by extracting time and sales? by sales do u mean executed limit orders? what is the significance of the orange, blue and teal rows? and what is a discrete actor-critic model $\endgroup$ – develarist May 27 at 13:13
  • $\begingroup$ Yeah, I mean market depth. Actor-Critic (A3C) is a reinforcement learning model (arxiv.org/abs/1602.01783). I am wondering if I can extract the sales from the level 2. You can have more information following this video : youtube.com/watch?v=H4FMMBhnEFY. The color means it is the same bid or ask prices $\endgroup$ – jgauth May 27 at 13:20

if sales are executed limit orders, then they wouldnt appear in the limit order book, but the message book. The message book contains executed transactions and cancellations. If you cant obtain the message book, then you would have to manually track executions through the limit order book based on bid and ask prices as they meet with respect to lot size between points in time.

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  • $\begingroup$ I am not sure to understand everything. Are you up to develop your answer in details $\endgroup$ – jgauth Jun 4 at 23:58

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