Order size

[howiesun]

Hi
Does tickstory data contain order size? specifically, NOT talking about volume size here.
For example, at this tick the volume is 10,000 shares this miniute 1 order is 5000, and a is 3000, rest of them randomly makes up the 50,000 (so I know there are 2 giant market orders)

[tickstory]

Hi Howiesun,

I think you might be referring to market depth which shows the size of each order on the books. Tickstory does not have this information from Dukascopy.

Hope this helps.

[howiesun]

so does duskcopy have these order sizes data?

[tickstory]

Hi Howiesun,

If you are trading live then yes they would but they do not have depth history, only the trading volume information against every tick.

Regards.

[howiesun]

where would I go if I want those info?? for back testing purposes?

[tickstory]

Hi Howiesun,

What you're looking for is called "Level 2" data which you can do a search for to see which data providers have this information available for purchase.

Hope this helps.