Finding Historical Tick Trades and Order Book Messages

Summary

The document asks where to obtain affordable intraday stock transaction data with timestamps at millisecond resolution, trade direction, price, and quantity. The answer points to LOBSTER as a source that provides free historical samples for Apple and other large-cap stocks. It distinguishes two data types: the limit order book represents queued orders, while the message book records executed and cancelled transactions.

This distinction helps clarify which dataset may be useful for a particular analysis. A researcher interested in completed trades should examine the message data, while queued orders require the limit order book. The document does not describe full coverage, costs beyond the sample availability, timestamp conventions, or how trade-side labels are derived. Its recommendation is therefore a starting point for evaluating historical data access, not a comprehensive comparison of providers or a guarantee that the samples meet a specific research need.

Key ideas

• The requested intraday fields include timestamp, transaction side, price, and quantity.
• LOBSTER is identified as a source of free historical sample data for selected stocks.
• Limit order book data represents queued orders.
• Message book data contains executed and cancelled transactions.
• The document does not detail provider coverage, ongoing pricing, or data-labeling conventions.

Tags

# Tick by Tick stock data


# Tick by Tick stock data












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:

- The transaction time (in milliseconds)

- The transaction type (Bid (Sell) or Ask (Buy))

- The transaction price

- 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 ;)

## Answer by develarist (score 1)

https://quant.stackexchange.com/a/54464

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

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.