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Is there a place where we can download end-of-the day ITCH data? There are so many HFT/LLT outfits out there with this data; surely one will be generous enough
by ajays 15y ago
Is there a place where we can download end-of-the day ITCH data? There are so many HFT/LLT outfits out there with this data; surely one will be generous enough to release it for free or some trivial amount?
- veyron 15y agoI looked into it: it's expensive to redistribute market data (you have to register with the various exchanges to redistribute their data, and its not cheap). Though nasdaq did have some data available on their ftp site: ftp://emi.nasdaq.com/ITCH/