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
CSV (S3)
Algoseek Dataset ID
US1018
Data Class
Equity
Dataset Name ID
eq_full_depth
Data Format
Market Data
Version
1.0
Time Granularity
Tick
Region
US
Data Type
Full Depth
Universe
All stocks, ETFs/ETNs from US exchanges
Update Frequencies
Custom
Start Date
2007-01-01
End Date
2019-04-12
Update Frequency
1 Day
Total Size
9.7 TB
Annual Size
179 GB / year
Update Size
716 MB