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. Preview 20 rows free. Buy rows for the full run.

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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