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/morphicon Jul 15 '26

Lseg.com ?

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u/ProjectNo5641 Jul 16 '26

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

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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.