Licensing and Availability of Delayed Market-Depth Data

# Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?


# Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?












I have market depth data visualization software, and I want to create a free version for introduction. As far as I know, exchanges allow to distribute their data for free for the end-users, but only if the data is delayed. I know about several such delayed data providers, but none of them provides market depth data. The data must be streaming data, of course (not a snapshot by request).

update: Since it's just for introduction purpose, I'm looking for data on just few instruments. For example FDAX at Eurex, and ES,NQ,GC,CL at CME

update #2: To clarify my question. I am looking for a data vendor that provides streaming delayed market depth data. Typically, the delay must be 15 min. to avoid exchange costs. Please do not offer just any data vendor or historical data provider, or direct connection to exchange (e.g. becoming market data vendor myself).

## Answer by chollida (score 1)

https://quant.stackexchange.com/a/14252

You'll have to go to the exchanges to ask. There are several things you need to think about.

1) When the exchange give you data, its clearly laid out hat it is for your firm only, ie you can not be a re transmitter of this information.

The stock tickers you see scrolling across CNBC...There is an actual fee schedule for that. Google finance showing quotes, there is a set fee schedule for that. Data from a bloomberg terminal, you guessed it:), there is a set fee schedule for that.

Or put another way, the exchanges all consider their market data to be their property and if you want to use it, that right must be negotiated.

Your choices are limited to either: 1) Going to each exchange, signing the paper work and paying for the data. 2) Going to an aggregatorto provide you data. Again, you'll need to negotiate for the right to display the exchanges data.

To get you started, here is a list of brokers that are licensed to disseminate the TSX market data...

http://www.tmx.com/en/data/how_to_access_data/vendor_and_partner_list.html

## Answer by madilyn (score 1)

https://quant.stackexchange.com/a/14255

Edit: In that case, your question makes no sense and I am voting to close it.

There's fundamentally no difference between "historical data" and >= 15 minute delay. You can write an application to stream historical data in 1:1 correspondence to the original durations to your application. I don't know any providers who queue precisely 15 minutes of market depth data to disseminate continuously at the end of every moving 15 minute interval because it makes more sense to sell that data as historical data.

While in theory CME charges no fees on a per user basis for continuous data that is delayed at least 10 minutes and not accessed indirectly over LAN, someone at the top of the hierarchy has to be paying the data distribution fees and maintaining the colocated server(s) and multicast over TCP/IP/ through which you receive the data. This has real costs.

Moreover, real-time CME market depth data is cheap (exchange fees are \$5 per month per user and a third party vendor like eSignal or IQFeed probably charges another \$50 to \$100 per month) in your case.

In other words, your question really just reduces to: "I'm in the business of selling software. Which data providers give me free historical data? I don't want to pay \$5 to \$85 per month." This is outside the scope of this QE, which is for quant professionals.

For CME, here's a few sources that sell market depth historical data on an order-by-order basis:

- CME DataMine

- Reuters tick history - sells on an instrument-by-instrument basis.

- Nanex historical data - sells on an exchange-wide basis.

For Eurex, the exchange itself also stores that data but Nanex only provides BBO:

- Eurex historical data

- Reuters tick history

You mentioned you're probably not willing to pay for your data... well, you can try your luck with Reuters or Nanex, they are more likely to cut you a special deal than the exchange itself.