Lobster

Lobster is an online limit order book data tool to provide easy-to-use, high-quality limit order book data.
Since 2013 LOBSTER acts as a data provider for the academic community, giving access to reconstructed limit order book data for the entire universe of NASDAQ traded stocks.

Lobster offers:

NASDAQ's Historical TotalView-ITCH.
The limit order book data that LOBSTER reconstructs originates from NASDAQ's Historical TotalView-ITCH files - the historic record of what NASDAQ calls [...] the standard NASDAQ data feed for serious traders - [displaying] the full order book depth [...] customized level of detail. Select from up to 200 price levels available depending on the level of detail required for your research - whether 'trades and quotes', i.e. level 1, level 10 or level 20.

detailed event information. Submissions, cancellations and executions (visible and hidden) are uniquely identified. For each limit order event in the requested price range the following details are included: Time stamp (up to nanosecond precision), order ID, price, size and buy/sell indicator.

latest data. Our database contains data from the 27th of June 2007 up to the day before yesterday.

choosing stocks and periods. Download only the data that you actually need for your research project!