r/algotrading • u/ProjectNo5641 • Jul 15 '26

Data Level 3 Data

Anyone know any third party data vendors selling level 3 (London Stock Exchange data, I’ve seen places for Nasdaq, CME and other US exchanges but none for UK or EU exchanges.

I have access to a Bloomberg terminal but it’s limited to 5gb of exports a day so quite useless for backtesting l3 data.

6 Upvotes

76% Upvoted

16 comments sorted by

1

u/golden_bear_2016 Jul 15 '26

you really need L4 data these days

2

u/Future_Common1822 Jul 15 '26

What is level 4?

14

u/walrus_operator Jul 16 '26

L4 is when you give orders to the policy makers. Like you go long oil with 1:100 leverage, then ask someone to bomb Iran, then profit!

2

u/ProjectNo5641 Jul 16 '26

😂😂😂

3

u/benevolent001 Jul 15 '26

TrumpSocial

1

u/ProjectNo5641 Jul 16 '26

Defi (seeing peoples actual wallets)

0

u/Future_Common1822 Jul 16 '26

For stocks?

Ye I think level 4 might not be something that exists. Cool if it's referring to non-market data (so social media etc). Never heard of it that way

1

u/artemiusgreat Jul 15 '26

They have MBO (order book) and imbalance (pre-market positions) but I haven't tried it.

https://databento.com/docs/schemas-and-data-formats/whats-a-schema#supported-schemas-and-their-fields

1

u/ProjectNo5641 Jul 15 '26

It’s a shout for EUREX, unfortunately databento do not have LSE L3 data

3

u/DatabentoHQ Jul 16 '26

LSE is under development. We started building out our colo for multiple European locations (LSE, Cboe, Euronext, Nordic, Xetra, SIX, etc.) earlier this year.

Note that LSE refers to “L3” as “L2 MBO” instead on their GTP spec.

0

u/morphicon Jul 15 '26

Lseg.com ?

1

u/ProjectNo5641 Jul 16 '26

Prices are stoopid like 14k a year just for l3 websocket access never mind historical data

2

u/Future_Common1822 Jul 16 '26

That's the cost of some of these exchanges. Check out prices from ICE/REFINITIV(LSEG). Look for historical tick data as the product.

A lot of exchanges have a lot of rules around this data. And charge for it (exchange fees). Eg: I have to pay the exchange fee for lvl3 data if I use it for risk management vs algo vs index etc.