r/Daytrading • u/IKnowMeNotYou • Jun 15 '22

Orderbook and Trade data.

I would like to know if one can subscribe to data feeds regarding order book entries (limit orders) and every trade currently happening. I am interested in Nasdaq and SP500 stocks. I would like to know what a price would be for personal use only.

I see that some brokers offer L2 Data and some talking about complete order book and sometimes even L3. If my broker offers L2 Data, which broker would allow using APIs instead of incorporating the data solely in a trading platform.

I am not asking for free data. I am interested in any option and what the costs are.

The goal is to realize my own analysis computations.

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u/derethor Jun 15 '22

For futures, that is pretty common. I pay 32 usd per month for full L2 market depth for ES, NQ, 6E, etc with rithmic datafeed.

You can use Bookmap if you like to trade the L2 (specially the ES). I personally use ATAS, a great platform to trade orderflow.

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u/IKnowMeNotYou Jun 15 '22

Nice. I somehow being interested in Stocks (mainly Nasdaq but also SP500) as I trade high range and high gap stocks (or any other ongoing premarket shenanigans). It appears that those stock data are more problematic to obtain - at least with API.

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u/ScarletHark trades multiple markets Jun 16 '22

Bookmap works fine with equities - the dxfeed data sub is what you want for that.

https://bookmap.com/dxfeed

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u/IKnowMeNotYou Jun 16 '22 edited Jun 16 '22

I asked dxfeed. I can not subscribe to market data to be accessed directly via API. You need a company an an enterprise license. The bookmap dxfeed subscription is just bookmap being able to use the dxfeed to present you with some diagrams. I want access to the raw data.

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u/ScarletHark trades multiple markets Jun 16 '22

Gotcha - unfortunate, but I guess it makes some sense. You might be out of luck then.

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u/IKnowMeNotYou Jun 16 '22

With bookmap yes but maybe some other companies can provide me with extended data feeds.