US Equities Full Depth
US Equities Full Depth
Production
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The Equity Full Depth dataset covers full-depth direct feeds (Level II data) from a list of exchanges: NASDAQ, Direct Edge, NYSE ARCA, and BATS. Unlike the Top of Book (Level I) data, it provides information not just on the best bid/ask on each exchange but also on all other quotes that represent orders to be placed in case the best bid/ask was canceled or filled. The data is available historically from 2007 to April 2019.
Dataset Info
Dataset Name ID
eq_full_depth
Algoseek Dataset ID
US1018
Data Format
Market Data
Data Class
Equity
Data Type
Full Depth
Time Granularity
Tick
Region
US
Universe
All stocks, ETFs/ETNs from US exchanges
Version
1.0
Update Frequency Options
Custom
Data Size
179 GB / year
Update Size
716 MB
Update Frequency
1 Day
Start Date
2007-01-01
End Date
2019-04-12
SQL (ArdaDB)
Easily connect to your data using SQL with a database connection. No complex setup, just instant access to your data - run queries, retrieve insights, and manage data effortlessly. Secure, fast, and built for developers, analysts, and teams who need reliable access without the hassle.
Data Fields
Preview Data
| # | name | data type | description |
|---|
CSV (S3)
Easily connect to your data stored in S3 and access CSV files without hassle. Streamline data retrieval with fast, secure, and scalable access, whether for analytics, processing, or integration.
us-equity-direct-feed-yyyy
S3 Bucket Name
us-equity-direct-feed-yyyy
Update Time
04:00 ET
S3 Bucket Path
yyyymmdd/s/sss.csv.gz
S3 Bucket Path Description
One csv.gz file per symbol per trading date where yyyymmdd is year, month and day, s - a single letter in A-Z range, sss - symbol
S3 Start Year
2013
S3 End Year
2019
S3 Bucket Size
179 GB / year
Sample Data File
Data Fields
Preview Data
| # | name | data type | description |
|---|---|---|---|
| 1 | Date | String | Trading date in yyyymmdd format |
| 2 | Timestamp | String | Event timestamp in milliseconds |
| 3 | OrderNumber | String | Unique order ID |
| 4 | EventType | String | The type of event |
| 5 | Ticker | String | Symbol name |
| 6 | Price | Decimal | Order price, available for the ADD BID/ASK, CROSS, and TRADE BID/ASK order messages. Zero for cancellations and executions |
| 7 | Quantity | Integer | Number of shares available for the ADD BID/ASK, EXECUTE BID/ASK, CROSS, CANCEL BID/ASK, TRADE BID/ASK messages. Zero for FILL BID/ASK and DELETE BID/ASK messages |
| 8 | MPID | String | Market Participant ID associated with the transaction (four characters) used to be available on specific exchanges but is no longer published in recent years |
| 9 | Exchange | String | The exchange or reporting venue |