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
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.