High-Frequency Stock Order Book

This dataset provides a granular, timestamped record of order book events—including order placements, modifications, cancellations, and trades—across multiple equity markets and exchanges. With microsecond-level precision and comprehensive event attributes, it is ideal for quantitative research, backtesting high-frequency trading strategies, and analyzing market microstructure dynamics.

  • opened 5 times
  • last updated 22 Jul 2025
  • by GoMask
The brief that made it

Backtesting and simulation of high-frequency trading strategies

Sample rows

preview · 8 of 200 rows · all 13 columns
event_idstringexchangestringtrade_quantityintegerorder_idstringtimestampdatetimesymbolstringevent_typestringsidestringpricefloatquantityintegertrade_idstringtrade_pricefloatorder_book_levelinteger
evt-0001NASDAQblankord-10012023-11-01T09:30:00.001234AAPLnew_orderbuy174.32150blankblank1
evt-0002NASDAQblankord-10012023-11-01T09:30:00.009820AAPLmodify_orderbuy174.29180blankblank1
evt-0003NASDAQblankord-10012023-11-01T09:30:00.018273AAPLcancel_orderbuyblankblankblankblank1
evt-0004NASDAQblankord-10022023-11-01T09:30:01.002001TSLAnew_ordersell251.15120blankblank2
evt-0005NASDAQblankord-10032023-11-01T09:30:01.014100TSLAnew_orderbuy251.2100blankblank1
evt-0006NASDAQblankord-10022023-11-01T09:30:01.020320TSLAmodify_ordersell251.1110blankblank2
evt-0007NASDAQ75blank2023-11-01T09:30:01.093402TSLAtradeblankblankblanktrd-5001251.181
evt-0008NYSEblankord-10042023-11-01T09:30:02.001002MSFTnew_orderbuy343.61200blankblank1

What the 200 rows show

from the 200-row sample

NASDAQ exchange stands out: mean trade_quantity is 165.5, against 581.4 for the rest.

  • 201median trade_quantity
  • 2sides
  • 4event types
  • 10symbols
  • 198.0median price
  • 130median quantity
Mean trade_quantity by exchange40 rows
0400800165.5NASDAQ22 rows581.4NYSE18 rows
trade_quantity40 rows, in bands of 200
01020197423506001,200trade_quantity →

Median 201, from 1 to 1,200.

order_id160 rows with a value · 40 left blank
  1. ord-20109
  2. ord-20119
  3. ord-20139
  4. ord-20018
  5. ord-20048
  6. ord-20078
  7. ord-20088
  8. ord-20027
  9. ord-20066
  10. ord-20096
13 columns by typefrom the column list below
  • string 7
  • integer 3
  • float 2
  • datetime 1

Columns

13 columns in three groups
blueprint · 13 columns
columntypedescriptionexample
Text 7 columns
event_idstringUnique identifier for each order book event.uniqueevt-0001
symbolstringStock ticker symbol (e.g., AAPL, MSFT) for which the event is recorded.10 symbolsAAPL
event_typestringType of order book event (e.g., new_order, cancel_order, modify_order, trade).new_order · cancel_order · modify_order · tradenew_order
order_idstringUnique identifier for the order involved in the event (if applicable).optionalord-1001
sidestringSide of the order book affected (buy or sell).buy · sell · optionalbuy
trade_idstringUnique identifier for the trade (only for trade events).optionaltrd-5001
exchangestringExchange code where the event occurred (e.g., NASDAQ, NYSE).3 exchanges · optionalNASDAQ
Numbers 5 columns
pricefloatOrder price for the event (null for some cancel events).0 or more · optional174.32
quantityintegerOrder quantity (number of shares/contracts) involved in the event.1 or more · optional150
trade_pricefloatExecution price for the trade (only for trade events).0 or more · optional251.18
trade_quantityintegerQuantity executed in the trade (only for trade events).1 or more · optional75
order_book_levelintegerOrder book level affected (e.g., 1 for best bid/ask, 2 for next level, etc.).1 or more · optional1
Dates and times 1 column
timestampdatetimePrecise timestamp (with microsecond precision) when the event occurred.2023-11-01T09:30:00.001234

Use it for

  • median trade q…20140 rowsmean trade quantity b…165.5NASDAQ581.4NYSE

    A finance dashboard

    Trade_quantity by exchange and a breakdown of order_id. Excel, Power BI or Tableau.

  • Why do the 22 NASDAQ rows have a mean trade_quantity of 165.5?

    A root-cause class exercise

    Hand out the rows and one question. The answer is in the data, not in the brief.

  • A software demo

    Believable events with timestamp, symbol and event_type to fill a screen in front of a buyer.

Not quite right?

Make it yours.

Same 13 columns, your size and your rules. See 20 rows before you pay.

Preview 20 rows free

1,000 rows: $1.99 · 10,000: $12.99One-time. No subscription. All prices

This dataset200 rows13 columns
Yours1,000 rows13 columns

blueprint · high-frequency-stock-order-book

Behind this dataset

Same schema. As many rows as you need.

These 200 rows came out of a blueprint — 13 columns with generation rules behind each one. Open it in Data Factory to retune a column, add your own, wire in foreign keys, and run it at the size you actually need.

Rules it was built with
  • Each event has timestamp, price, size, side (buy/sell).
  • Order placements, cancellations, and fills represented.
  • Supports microsecond-level time resolution.
  • Instrument and exchange identifiers included.
Rows
Open the blueprint in Data Factory

1 credit per row. New accounts start with 25 free credits.

Exports
CSV, JSON, JSONL, Parquet, SQL, Excel, TSV, XML
Licence
yours to use, including commercially
API slug
high-frequency-stock-order-book

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