Historical Order and Execution Data Sources for Market Replay

Summary

The document asks where to find historical order-level data, including orders and their final statuses or execution reports, to test a trading system that processes FIX orders through limit order books and auction or continuous sessions. It points to two datasets that contain more than price histories: TORQ, covering a sample of NYSE companies over a short historical period, and SIRCA’s Australian equities tick history, described as including bids, asks, trades, and order and execution volumes.

These are suggested research sources rather than a guide to obtaining, parsing, or replaying the data. The author notes that TORQ uses an old DOS format, while access to SIRCA is restricted to members and the path to membership is unclear. The discussion does not establish whether either dataset contains the precise status-report fields or protocol details the questioner needs, nor does it provide an evaluation of data quality or suitability for modern markets.

Key ideas

• Order-level historical records can support testing of trading systems that model order books and executions.
• TORQ is described as containing order and price data for a sample of NYSE companies from an early historical period.
• SIRCA’s Australian equities history is described as including quote orders, trades, and their volumes.
• TORQ’s legacy format and SIRCA’s restricted access may complicate use.

Tags

# historical data on orders and executions


# historical data on orders and executions












I've implemented a simple trading system that gets orders with FIX, manage them in limit order books, calculate relative prices and, execute order book, runs multiple sessions (auctions and normal) by variety of order types. now I want to test it with an accountable data

my need is to have a time series of order & their last status or execution reports.

any one can help? Thanks in advance

## Answer by Erel Segal-Halevi (score 1)

https://quant.stackexchange.com/a/34869

I am also looking for the same kind of information in order to evaluate mechanisms for double auction. So far, I found the following two sources:

- The TORQ database - a database of all data related to a random sample of 144 companies from NYSE, for the dates 1990-11-01 to 1991-01-31. In contrast to other databases, it includes not only prices but also buy and sell orders. Unfortunately it is in old DOS format, so you'll need a tool such as DosBox to handle it.

- SIRCA has a database of Australian Equities Tick History since 1991. It contains "Every bid and ask order, every trade, including the volume of each order and executed trade...". Unfortunately, it is open only to members (I am not sure how you can become a member).

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.