US stocks L3 order book data

stocks-venue-l3 is one US stock exchange’s order book, order by order: every add, modify, cancel and fill that venue disseminated, with nanosecond timestamps, for every session since the first one published on 2026-10-26. Each night adds the newest session, and every published session is kept. /api/v1/stats lists the sessions held under l3.

Sample request

No key: the first 1,000 events after 09:30 ET of the newest session, any ticker.

curl "https://getmarkethistory.com/api/v1/mbo/stocks-venue-l3/SPY?format=csv"

With a key, a full session of one ticker, 10,000 events a page:

curl -sD - "https://getmarkethistory.com/query/v1/mbo/stocks-venue-l3/AAPL?date=2026-10-30&limit=10000" \
  -H "Authorization: Bearer $MARKET_HISTORY_KEY"

Columns: timestamp, sequence, action (add, modify, cancel, fill, trade, clear, break), side, flags, order_id, price, size, trade_id. Replay a session in sequence order from an empty book and you have the venue’s book at any instant. Full reference: L3 order book.

Is this the whole US market?

No. It is one exchange’s book, and that exchange carries roughly 2–3% of consolidated US stock volume. Use it for order-level microstructure on that venue, not as a substitute for the consolidated tape. Consolidated 1-minute bars of every US stock are the stocks dataset.

Which tickers are covered?

Every ticker that traded on that venue in a session: stocks and ETFs.

What else comes from the same book?

Its best bid and offer once a second (stocks-venue-l2, L2 top of book), with a keyless sample at /api/v1/l2/stocks-venue-l2/{ticker}. Every price-level change at full depth (stocks-venue-mbp, Venue depth) is being prepared: no session is published yet.

How much does it cost?

L3 events bill in bars: 10 events are 1 bar, and a page rounds up to a block of 1,000 events. A median ticker’s session is about 1,000 events, 100 bars; a busy ETF’s can be a few million events. L3 needs bought bars; a free account’s monthly bars pay for 1h bars only. See Limits & billing.