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I am in academia, doing some research for which I would need Level 2 LOB data for the companies in NASDAQ-100 at one given timestamp, I just need one snapshot for the 101 companies in NASDAQ-100.

Do you know where I could get this data for free?

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First, you'll need the list of index constituents. This is usually very expensive as it's a major source of revenue for indexing companies, but one way to get this free is to go to an ETF issuer's page and see their holdings list. See for example Invesco QQQ's page here. The biggest downside is that there's no clean way to extract historical constituents in this manner.

Then, for getting just a snapshot of the LOB at a specific timestamp for free, there's only one company I know of in the world that does this: Databento. With the free signup credit you should be able to do this easily. I know this sounds biased coming from me—for disclosure, I work there—but this is specifically the use case that we optimized for and it's otherwise expensive and near-impossible to find because:

  • LOB data in US equities requires sourcing the prop feeds. Very few companies do that.
  • MBP data ("L2") is large. Storing and serving it is expensive, so most companies don't have historical data for this or the ability to do it over WAN.
  • The ones that do, almost always sell the data with a minimum monthly subscription or annual contract.

Otherwise, alternatively, you can probably get free samples from exchanges. IEX, and I believe Nasdaq, have free samples but you'll need to parse. ATSes are usually generous with free samples if it gives them some kind of commercial benefit, e.g. if your academic study will show that their venue has good liquidity profile.

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