Level II full market depth historic files support?
Hello. I need about 3 months of full market depth level II data, for all stocks for any exchange. I need it for testing. Does you have software that can download/load this data from server or computer file, and then transform it to the following or similar format in .csv or alike?
Timestamp, bidprice1, bidvolume1, askprice1, askvolume1 etc.
I need the data for Matlab.