Reconstructed Order Book

Get the reconstructed second level order book for NASDAQ instruments with nanosecond precision.

Due to the volume of data produced by these queries, some constraints are in place, depending on the level of aggregation:

  • Full reconstruction: display all the snapshots for the order book, with buyer and seller attribution, where applicable. Only one instrument for a single day can be queried.
  • When transaction happens: display only the snapshots where a transaction happens. The product between the number of instrument and the number of days requested should be less than 600.
  • Milliseconds: aggregated values by millisecond. The product between the number of instrument and the number of days requested should be less than 600.
  • Second: aggregated values by second. The product between the number of instrument and the number of days requested should be less than 600.
  • Minute: aggregated values by minutes. The product between the number of instrument and the number of days requested should be less than 2000.
  • 10 minutes: aggregated values by 10 minutes. The product between the number of instrument and the number of days requested should be less than 10000.
  • 30 minutes: aggregated values by 30 minutes. This level is uncostrained.
  • Hour: aggregated values by hours. This level is uncostrained.
  • Day: aggregated values by days. This level is uncostrained.

Access the dataset

If you're at an SSE venue and having trouble accessing data, switch from Eduroam to SSE Guest and report the issue to Student IT Support: sits@hhs.se

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Database available for SSE students and staff, as well as to the Swedish Academic Community through SWAMID.