Sourcing Historical Level 2 Order Book Snapshots for NASDAQ-100 Stocks

Summary

The discussion considers how an academic researcher might obtain a single Level 2 limit order book snapshot for NASDAQ-100 constituents. It separates the problem into identifying the relevant constituents and obtaining historical market-by-price data at the desired timestamp. An ETF holdings page is suggested as a free way to view constituents, while the answer cautions that it does not provide a clean history of index membership.

For the snapshot itself, the response describes a provider offering access through free signup credit, while disclosing that the respondent works for that provider. It explains that US equity order-book data depends on proprietary feeds, is costly to store and serve, and is often sold through subscriptions or contracts. Free exchange samples and venue-provided samples are mentioned as alternatives, though parsing may be required and samples may not cover the desired historical time. The suggestions are practical leads rather than a neutral comparison or guarantee of availability; data access, timestamps, coverage, and constituent history need to be checked for the specific research design.

Key ideas

• Finding the relevant index constituents and obtaining a historical order book snapshot are separate data tasks.
• ETF holdings pages can expose constituents, but they may not reconstruct historical index membership cleanly.
• Historical Level 2 equity data can be expensive because it relies on proprietary feeds and substantial storage and delivery capacity.
• Exchange or trading venue samples may be alternatives, but can require parsing and may not include the needed timestamp or coverage.
• The provider recommendation includes an employment disclosure and should be treated as a source lead rather than an independent comparison.

Tags

# One timestamp snapshot of Level 2 LOB NASDAQ 100 companies


# One timestamp snapshot of Level 2 LOB NASDAQ 100 companies












I am in academia, doing some research for which I would need Level 2 LOB data for the companies in NASDAQ-100 at one given timestamp, I just need one snapshot for the 101 companies in NASDAQ-100.

Do you know where I could get this data for free?

## Answer by databento (score 1)

https://quant.stackexchange.com/a/78154

First, you'll need the list of index constituents. This is usually very expensive as it's a major source of revenue for indexing companies, but one way to get this free is to go to an ETF issuer's page and see their holdings list. See for example Invesco QQQ's page here. The biggest downside is that there's no clean way to extract historical constituents in this manner.

Then, for getting just a snapshot of the LOB at a specific timestamp for free, there's only one company I know of in the world that does this: Databento. With the free signup credit you should be able to do this easily. I know this sounds biased coming from me—for disclosure, I work there—but this is specifically the use case that we optimized for and it's otherwise expensive and near-impossible to find because:

- LOB data in US equities requires sourcing the prop feeds. Very few companies do that.

- MBP data ("L2") is large. Storing and serving it is expensive, so most companies don't have historical data for this or the ability to do it over WAN.

- The ones that do, almost always sell the data with a minimum monthly subscription or annual contract.

Otherwise, alternatively, you can probably get free samples from exchanges. IEX, and I believe Nasdaq, have free samples but you'll need to parse. ATSes are usually generous with free samples if it gives them some kind of commercial benefit, e.g. if your academic study will show that their venue has good liquidity profile.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.