Finding Historical Overnight US Stock Data from Nasdaq ITCH

Summary

The document asks whether historical overnight data for large US stocks and major indexes is available at intraday intervals, and where researchers might obtain it. The response points to a commercial data provider that reconstructs Nasdaq limit order books from ITCH TotalView messages. It explains that these exchange messages cover activity on Nasdaq’s electronic platform over an overnight-to-evening session, making them a possible source for studying trading outside regular market hours.

The recommendation is specifically tied to Nasdaq order-book data and does not establish coverage for other venues, consolidated market activity, indexes, or every requested bar interval. The answer gives no sample files, pricing, access terms, or validation of historical completeness. Researchers should check the provider’s current coverage, timestamps, security universe, and whether the reconstructed data supports their desired aggregation before relying on it. This is a data sourcing lead rather than a trading method or empirical analysis.

Key ideas

• Nasdaq ITCH TotalView messages can support reconstruction of limit order book history.
• The cited data source covers electronic platform activity beyond regular daytime trading.
• The recommendation is specific to Nasdaq and may not cover other venues or consolidated market data.
• Researchers should verify instrument coverage, session hours, intervals, and data access details.

Tags

# Historical overnight stock data


# Historical overnight stock data












We are looking for historical overnight stock data of large US stocks and it's main indexes for a thesis project. While some websites offer partial data, such as nasdaq offering the last 100 trades, none of them offers historical information on i.e. 1min or 5min time frames.

We've been looking at both open and commercial parties but haven't spotted any with this kind of data - is it even available? If so, where can we find it?

Thanks in advance!

## Answer by LOB (score 1)

https://quant.stackexchange.com/a/33684

You may contact the people at lobsterdata.com. They reconstruct the limit order books from NASDAQ ITCH-Totalview data, which includes all Level III messages passing through NASDAQ electronic trading platform (in general, from 2:00 am -- 8:00 pm). Good luck!

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.