Sources for Historical Eurex Level 2 Order Book Data

Summary

The document discusses where to obtain historical Eurex Level 2 order book data, with a focus on whether a buyer can select individual instruments instead of purchasing broader exchange coverage. The question describes Eurex’s own data offering as covering the full exchange and as expensive, prompting interest in a narrower quote for a specific government bond futures contract.

The response identifies InteractiveData, using data derived from CEF Core, as a source for netted Level 2 Eurex data. For un-netted data, the respondent says Eurex’s own data shop is the only source they know and reports difficulty finding un-netted data for several German government bond futures. This is a brief sourcing answer rather than a technical explanation of data formats, coverage, licensing, or quality. Its source claims are limited to the respondent’s knowledge at the time and may not describe current vendor offerings or pricing.

Key ideas

• InteractiveData is identified as a source of netted Eurex Level 2 data derived from CEF Core.
• The response identifies Eurex’s data shop as its known source for un-netted data.
• The question distinguishes full-exchange coverage from purchasing data for selected instruments.
• The sourcing information is anecdotal and does not establish current availability, pricing, or vendor coverage.

Tags

# Where to obtain Eurex level 2 historical order book data from?


# Where to obtain Eurex level 2 historical order book data from?












What are some possible sources to obtain Eurex level 2 historical order book data from?

Unfortunately I have only been able to find 1 source - namely Eurex itself, which charges 2000 Euro/month for the last 3 months and 1500 Euro/month for older months.

That, however, gives you the entire exchange. I was hoping the cherry pick the instruments I needed, e.g. maybe only the 10y bund future and thus get to a more reasonable quote of a few hundred per month?

## Answer by chol (score 1)

https://quant.stackexchange.com/a/16796

You can get netted level 2 Eurex data from InteractiveData (derived from CEF Core).

For un-netted data the only place I know of is the Eurex datashop. I've been looking for un-netted data for Bund/Bobl/Schatz without success for a while.

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.