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Data Center
  • SHoF Data center – a national mission
  • Fama French Factors
  • FinBas
  • Historical Archives
  • NASDAQ HFT
    • Reconstructed Order Book
    • Nordic Market Quality
  • Nordic Compass, SHoF's ESG Database
  • PAtLink
  • Serrano
  • News

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

Link opens in a new page.

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

When using this database, please refer to:

NASDAQ HFT at Swedish House of Finance Research Data Center.

Accessed mm dd, yyyy. 

https://www.hhs.se/en/houseoffinance/data-center/

Questions

For further information or questions regarding our datasets, please refer to our support website →

For information, please refer to the documentation.

Funded by Nasdaq

Swedish House of Finance

Bertil Ohlins gata 4, 113 50 Stockholm

info@houseoffinance.se +46 8 736 91 00
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