0
$\begingroup$

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 ;)

Improve this question
$\endgroup$

1 Answer 1

Reset to default
1
$\begingroup$

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

Improve this answer
$\endgroup$
2
  • $\begingroup$ 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, 2020 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, 2020 at 13:25

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.