[SNYP40A1]

Is there a data provider which supplies historical full book data (time, sales, volume, bid and offers -- not just the best bid and offer price, but all current bids, offers, and quantity on the market, basically all market activity) for retail traders? My suspicion is no, but OpenTick used to have this data surprisingly cheap.

[shrike]

Hi

take a look here https://www.cqgdatafactory.com/?page=cover

[SNYP40A1]

Originally Posted by shrike »

Hi

take a look here https://www.cqgdatafactory.com/?page=cover

Thanks Shrike, that looks good, but not quite available:

Full DOM book and tick data with millisecond resolution will become available as a daily subscription in early 2010. Call now to request to be notified when this data becomes available.

Best solution for me is probably to start logging the data from a live feed. I can see why this data is so hard to find, the amount of data generated will be huge, probably over 100 MB / day. Fortunately, hard drives have gotten bigger and cheaper. Kinda surprised Google does not have a historical financial data service with tick resolution, they would be the perfect company to organize such a service.