NASDAQ HFT

HFT data contains all messages (orders, cancellations and trades) sent and received to the Stockholm Stock Exchange matching engine. All datasets are based on the NASDAQ OMX Historical ITCH files.

Business process diagram illustrating data management and workflow systems

DATABASE AVAILABLE FOR SSE STUDENTS AND STAFF, AS WELL AS TO THE SWEDISH ACADEMIC COMMUNITY THROUGH SWAMID.

Reconstructed Order Book →

Nordic Market Quality →

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/

Funded by Nasdaq

Questions

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

“In SHoF’s Nasdaq HFT Database, researchers can see all individual orders, regardless of price levels, and they can do so for a large set of stocks over a fairly long period of time. The ability to track orders everywhere in the limit order book opens up for a micro-level approach to research questions that are otherwise tackled using aggregate measures.”, says Björn Hagströmer.