Buying Historical Order-by-Order Exchange Data

Summary

The document addresses where to obtain historical raw exchange data detailed enough to reconstruct the order book throughout the trading day. It clarifies that the desired feed is order by order, or an equivalent record of book events, rather than only aggregated prices or trades. The answer says exchanges may sell their own historical data directly and identifies the London Stock Exchange’s Trade Data product as an example.

The cited product is described as an end-of-day download containing order-book activity, including trades, orders, and deletions for order-book securities, with records available since October 1997. This is a concrete pointer for researchers investigating historical market microstructure or building book reconstructions. The exchange provides only one example, however; the note does not compare vendors, explain licensing or costs, specify intraday delivery formats, or establish that the same product terms remain current.

Key ideas

• Exchanges can be a direct source of historical order-book data.
• Order-by-order records can support reconstruction of book states during the trading day.
• The example cited is an LSE product with trades, orders, and deletions in its end-of-day activity file.
• The document does not compare data vendors, pricing, licensing, or current product availability.

Tags

# Where can I buy historic raw recording of an exchange


# Where can I buy historic raw recording of an exchange












Say I want to buy historically recorded raw feed from an European exchange (say LSE). Is there a vendor that would sell me this data ?

EDIT: By raw feed I mean the order by order feed (or equivalent) that would enable me to build the entire book at any point in day.

Cheers

## Answer by Louis Marascio (score 2, accepted)

https://quant.stackexchange.com/a/11369

You can buy data directly from every exchange I've looked at. LSE sells data as well right here on their webpage

Sounds like you're looking for their Trade Data product which includes order book information: "Provides an end-of-day download file of the day's Order Book activity, including all trades, orders and deletions in Order Book securities since October 1997..."

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.