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let's suppose a stock 'X' is quoted in a particular market with a specific bid and ask price. I would like to see for all transactions within a day on stock X:

  1. The transaction time (in milliseconds)
  2. The transaction type (Bid (Sell) or Ask (Buy))
  3. The transaction price
  4. The transaction quantity

It is not necessary for me to have real time data, delayed or historical would work fine. Do you perhaps know any affordable data provider?

Thank you ;)

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LOBSTER offers free samples of historical limit order book data as well as message book data for Apple and other blue chips. Queued orders are contained in the limit order book, while executed and cancelled transactions are in the message book. Click on the samples. tab at the link

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  • $\begingroup$ Thank you for your response, this can be very useful. Anyway, it seems that it just provides Limit Orders, is it possible to find similar information for market orders? $\endgroup$ – Fra92 May 28 at 13:23
  • $\begingroup$ yes, like i said, in the message book, which is a seperate file for the same companies. limit order books never carry market orders, only limit orders. read their instruction guide carefully in order to understand the data that appears in the spreadsheets $\endgroup$ – develarist May 28 at 13:25

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