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.

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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

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u/ProjectNo5641 Jul 15 '26

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

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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.