Our historical market data service is unique by providing order book data. We provide L2 order book snapshots containing 20 price levels on each side of orderbook at 100ms frequency.
Why is order book essential?
Short-term and mid-term strategies are appreciated for higher returns and faster strategy validation compared to long-term trading. For those strategies, you need detailed market microstructure data including individual trades and order book.
Order book data are needed for precise backtests, execution simulation, (statistical) arbitrage strategies or market making. Knowing the best price levels or available liquidity allows you to precisely determine for which prices are you able to trade, what liquidity is available in the order book or how much slippage will occur on trade. In the end, you are able to conduct precise backtests, that will closely match real execution.
Working with our data
See also more details on the data schemata and access.
What are order book data
Order book data is a structure storing limit orders of all market participants on an exchange until a market order matching their price will come. Those limit orders signal intent of users and contain predictive information – “alpha”. Order book data are also the best data to simulate your strategy execution on.
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