Finding Limit Order Book Data for Academic Research

Summary

The document discusses ways to locate limit order book data for research, including event-level snapshots or message files from which order books can be reconstructed. It mentions open-source repositories and research papers that link datasets, while noting that an example repository has only a few price levels. It also points researchers toward market data vendors that may offer academic licenses, sometimes at reduced cost or no cost.

The suggestions span exchange and vendor sources as well as cryptocurrency markets, where some platforms provide substantial quantities of free market data. The answer is a short list of leads rather than a vetted catalog: it gives little detail about coverage, licensing terms, file formats, historical depth, or whether each source preserves price-time priority. Researchers should verify availability and permissions directly, and confirm that the data granularity fits their study before relying on a source.

Key ideas

• Open-source repositories and papers can provide leads to limit order book datasets.
• Some available datasets contain only a small number of book levels.
• Data vendors may offer academic access at reduced prices or without charge.
• Cryptocurrency exchanges can be another source of market data, though suitability depends on the study.

Tags

# Are there open source or academic-only limit order book data sets available?


# Are there open source or academic-only limit order book data sets available?












I am looking for limit order book data for an academic paper that has a snapshot for every change in the orderbook (1st five levels are fine, but more is better) or can be built from ITCH files. Any market and geolocation work as long as the priority is price/time. The only data I found on this is the lobsterdata resource, are there other data sets (including open source) out there available for researchers?

## Answer by amdopt (score 1, accepted)

https://quant.stackexchange.com/a/71689

Here are a few links that may have the data you are looking for:

awesomeopensource.com has many open source projects. You could probably find some data there.

This Github repo has some data. Only 3 levels, though.

This paper has a dataset linked to it.

## Answer by André Bittencourt (score 1)

https://quant.stackexchange.com/a/71691

Some vendors have academic licenses, where they offer a reduced rate or even free access to the data. You should try contact some of them like:

Nasdaq

Ticket Market Data

Olsen

The Crypto space is very well feed with market data, if this suits your paper:

Kaiko

Binance has loads of free data.

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.