order book datas

Luphie · July 14th, 2009, 12:07 pm

Hi everyone,Do you know anywhere I can get order book datas, which include all the submitted buy/sell orders' prices and volume (not only the executed ones) ?Thanks in advance!Luphie

tu160 · July 14th, 2009, 4:45 pm

what market?

Luphie · July 15th, 2009, 8:27 am

Thank you for you reply!Stock market will be fine. I have read a paper which was using those kind of datas which the author collected from Paris Bourse. Actually I am doing a research based on his idea so it will be perfect if I can have the Paris Bourse data as well.Do you know what I can find them??

MC81 · July 15th, 2009, 12:42 pm

https://loginabout.reuters.com/develope ... /rdth.aspx

tu160 · July 15th, 2009, 6:00 pm

NYSE open book history: http://www.nyxdata.com/nysedata/default.aspx?tabID=743I don't know about Paris... What's in the the paper, something new from Jean-Philippe?

Luphie · July 17th, 2009, 10:39 am

Thank youI'll have a look at the website!

Luphie · July 17th, 2009, 10:41 am

QuoteOriginally posted by: tu160NYSE open book history: http://www.nyxdata.com/nysedata/default.aspx?tabID=743I don't know about Paris... What's in the the paper, something new from Jean-Philippe? Thanks! I'll have a look!The paper is 'Do supply and demand drive stock prices' written by Carl Hopman.

Luphie · July 22nd, 2009, 8:44 am

QuoteOriginally posted by: tu160NYSE open book history: http://www.nyxdata.com/nysedata/default.aspx?tabID=743I don't know about Paris... What's in the the paper, something new from Jean-Philippe? This is soooo expensive.......Are there any other sourses? I searched on google that plenty of researchers using Paris Bourse order book datas for their research, do they all buy from this website?? Is it polite if I email them and ask? Normally how long it take them to reply??Sorry, too many questions

tu160 · July 23rd, 2009, 12:52 pm

Yes, those data are very expensive. I am not sure academia people will give you data (those redistribution sounds illegal until you belong to the same university) but they could link you to data provider who welcomes research and provide special academic subscriptions.

Shawn · July 24th, 2009, 9:02 pm

I know you need to have level 2 of Reuters to see deeper levels of the order book, level 1 access only shows the first level of the book. Not sure about Bloomberg though