Thomson Reuters Releases ‘Full Order Book’ Historical Data

Emmanuel Doe, Thomson Reuters

Thomson Reuters has released Full Order Book, a historical tick data service captured from its direct feeds offering that includes more in-depth order book information than its existing Tick History service, to provide better support for those using the data to build, test and perform post-trade analysis on trading strategies.

The existing Tick History service captures data, along with index constituents and metadata, from the vendor’s RDF consolidated datafeed, which aggregates ticks by price l

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