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Level II full market depth historic files support?


Level II full market depth historic files support?
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2/23/2019


Hello. I need about 3 months of full market depth level II data, for all stocks for any exchange. I need it for testing. Does you have software that can download/load this data from server or computer file, and then transform it to the following or similar format in .csv or alike?

Timestamp, bidprice1, bidvolume1, askprice1, askvolume1 etc.

I need the data for Matlab.

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5 Answers
Mikhail Sukhov

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Articles author Programmer Trader
Date: 2/24/2019
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Hello.

You can purchase ITCH connector, download necessary data via Hydra and export in using export feature.
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Daniel

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Date: 2/24/2019
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Ok... is ITCH connector a product you sell? If so, what is the cost?
Topic starter
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Mikhail Sukhov

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Articles author Programmer Trader
Date: 2/24/2019
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Thanks:

Daniel

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Date: 2/24/2019
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Thanks!!

However, we need to test a concept before we buy subscriptions. We have a demo file we got directly from Nasdaq Nordic in ITCH TotalView binary format. Is it possible to convert this file with your software so that we can get it to .csv or .xlxs format? If so, which software? Data?
Topic starter
Thanks:

Mikhail Sukhov

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Articles author Programmer Trader
Date: 2/24/2019
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Unfortunately, ITCH format will not support without the connector. We don’t provide trials for paid component but free products you can use without any limitations.
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