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Order-Level Equity Data Requires Venue Proprietary Feeds

Article Quant Q&A · Author: dev
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Summary

The discussion distinguishes aggregate stock volume from data that records the individual orders or trades contributing to that volume. It explains that common normalized feeds sourced from the consolidated US equity reporting systems do not provide a full breakdown of individual orders. Researchers seeking order-level detail generally need venue proprietary feeds, or normalized products derived from them.

Examples mentioned include exchange-specific feeds and third-party providers that distribute or normalize such data. The answers also name API-oriented data services as possible sources, but do not compare coverage, latency, cost, licensing, or historical availability. The practical takeaway is to identify the desired venue and level of detail before selecting a feed: consolidated volume is not equivalent to order-level market data. This is a sourcing overview rather than a technical guide to decoding messages or reconstructing order books.

Key ideas

  • Aggregate volume feeds do not necessarily expose the individual orders behind reported activity.
  • Consolidated US equity feeds generally lack the requested order-by-order composition.
  • Venue proprietary feeds can provide more detailed order event data.
  • Normalized vendors may redistribute data derived from exchange feeds.
  • Feed suitability depends on the market and detail needed; the discussion does not compare service terms.

Tags

EquitiesUS marketsMarket microstructureExecution
Full text
# Data feed that shows individual orders


# Data feed that shows individual orders












Does anyone know how I can obtain time and sales data for a stock?

Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume.

I would like to get this via an API so I can analyze it in my code in real time as the market is trading.

Thank you for your help.

## Answer by databento (score 1)

https://quant.stackexchange.com/a/71972

(I assume you're referring to US equities.)

Most normalized, vendor data feeds that you see are sourced from the CTA/UTP SIPs, which don't provide breakdown of individual orders.

To see the composition of individual orders, you'd need either a prop feed or a normalized feed derived from a prop feed. Such prop feeds include the Nasdaq TotalView-ITCH, NYSE Integrated etc. Aside from sourcing these prop feeds from the venue directly, you can also do so via one of their extranet providers (e.g. Pico, Options IT, Fixnetix, TNS). There are several providers that normalize these feeds, such as Databento (disclaimer: which I work for), Celoxica, Redline.

## Answer by Mike Williams (score 0)

https://quant.stackexchange.com/a/57053

Which stock are you looking for? Try checking out IEX Cloud. They have a wide range of core and premium data delivered through APIs. If you're looking at stocks in the US markets, AlgoSeek is also an option.

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.