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Accessing Full-Depth Nasdaq Order Book Data

Article Quant Q&A · Author: TechCrap
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Summary

The document discusses access to real-time Nasdaq limit order book data, including depth beyond the best bid and ask and the events associated with book changes. The accepted answer describes Nasdaq TotalView as a full-depth feed and identifies a visualization and trading platform that relayed Nasdaq data through a market data provider. It distinguishes visual display of depth from programmatic access to non-display data.

The answer also gives a practical caveat: API access and historical data were described as planned, while non-display access required a separate subscription costing several thousand dollars per month. These vendor and availability statements reflect the answer's time and should not be read as a current market survey. The document does not explain feed protocols, event sequencing, or how to reconstruct the book from updates.

Key ideas

  • Nasdaq TotalView provides full market depth rather than only a fixed number of top levels.
  • Order book visualization can combine displayed depth, best quotes, trades, and execution markers.
  • A platform may offer visualization before offering an API for non-display data.
  • Non-display access can require a separate, costly subscription.
  • Vendor availability and pricing claims may change over time.

Tags

EquitiesMarket microstructureExecutionUS markets
Full text
# Real-time limit order book data of desired depth


# Real-time limit order book data of desired depth












Is it possible to get real-time NASDAQ limit order book data feed somewhere?

I would need a stream of the limit order book data, preferably something similar to:

Along with the respective events which triggered each limit order book change?

I would need an API which I could poll or eventually receive a PUSH event at least once a second or eventually any time an event occurs. Is this even possible whereas not having millions to be spent on a fees?

## Answer by Serg (score 3, accepted)

https://quant.stackexchange.com/a/38469

You can get streaming data of Nasdaq TotalView. Note that it contains full market depth, similar to your second image, not just N first levels as on your first image.

Check Bookmap. It's a data visualization and trading platform. It receives Nasdaq data directly through dxFeed / Devexperts. Currently you can only view it and trade. But soon it will be possible to get real-time "non-display" data through API and also historical data.

I work at Bookmap, but I'm truly not aware of any other data vendor that provides that quality of market depth data for a price, which is lower than most of low quality retail data vendors of level 1 data only. In fact, we did this research before connecting to dxFeed. Here are few visual examples.

The green and red lines are Best Bid and Best Ask accordingly. White line on the first image is last price. Green and red dots are Volume Dots, illustrating executions of Buy and Sell orders accordingly. And the Heatmap represents the market depth - see its colormap on the toolbar.

Edit: "non-display" data isn't actually available with a regular data subscription. It would cost several thousands USD per month.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.