Nasdaq Nordic Equity TotalView - ITCH Market Feed

Subject:

Financial markets:

Stock markets

Keywords: Stock, Price, Volume, Order book, Nasdaq Nordic, Nasdaq Baltic

Accessible to: Aalto Students & Staff, Aalto users

Data source type

Aalto researcher(s)

License

Free for academic use

Analysis unit

Stock (share class)

Geographical coverage

Nordics

Time period coverage

2010-present

Frequency

Intra-day

Format

Other

Description

Researcher's at Aalto University have collected archive order flow data from Nasdaq Nordic and Baltic stock exchanges. The original data is non-human-readable binary data designed to stream minimalized messages containing changes to the exchange orderbook, and contains all orders and information messages submitted to stock exchanges from 2010 to present at nanosecond level. The data has been enhanced by Aalto researchers so that the daily files of the data are downloadable in human-readable format for a month after each trading day.

The enhanced data source works through "clever code", which can be used to:

• Reconstruct order book state at any time (full book depth, all securities and exchanges)

• Create new, ready made 10 or 5 minute snapshots of book state for easy use

The data is being further developed to allow researchers to run the code and make changes to it themselves, and the data source is free to use in academic research in Aalto.