Where can I get high-quality Level 2 or tick data for forex to run order book simulations?
Posted: Mon Aug 03, 2026 2:53 pm
Hi guys,
Getting high-quality Level 2 (Depth of Market/Order Book) tick data for forex is notoriously difficult compared to crypto or equities.
Because forex is a decentralized, over-the-counter (OTC) market, there is no single "National Best Bid and Offer" (NBBO) or central limit order book.
Liquidity is fragmented across various electronic communication networks (ECNs) and interbank platforms.
If you want to run realistic discrete event simulations for scalping, you need order book data that shows not just the top-of-book (Level 1) prices,
but the volume queuing at multiple price levels. Here is a breakdown of the best sources for L2 forex data, categorized by accessibility and institutional grade.
1. Free & Developer-Friendly Options
If you are just building your simulation framework or learning how to parse L2 data, start here before spending thousands of dollars.Dukascopy: This Swiss broker is famous in the quant community for providing high-quality, free historical tick data. While their standard historical data export is excellent for tick-by-tick Level 1 (top of book) data, getting full L2 depth historically requires pulling from their API or specialized platforms. TrueFX: A project by Integral (a major FX technology provider), TrueFX offers free, clean, institutional-grade top-of-book tick data. While primarily L1, it is excellent for testing your engine's parsing speed and handling millisecond timestamps. Crypto Exchanges (Alternative Sandbox): If your goal is simply to build and test the mechanics of an order book simulator (queue modeling, latency arrays, limit order fills), use crypto data first. Binance, OKX, and Coinbase offer free real-time WebSocket feeds of full L2/L3 order books, and platforms like Tardis.dev offer cheap, pristine historical order book data for crypto. The microstructure dynamics are different from FX, but the engineering challenges of handling the data are identical.
2. Institutional ECNs (The Gold Standard)
If you have a budget and need the most accurate representation of interbank liquidity, you need data sourced directly from the major ECNs. These platforms are where the real volume trades.EBS (CME Group): EBS is one of the two dominant interbank platforms (along with Reuters/Refinitiv). CME Group acquired EBS and now sells its historical market data. Their EBS Spot FX data provides up to 10 levels of order book depth, delivered in 100-millisecond time-slices. This is the institutional standard, but it requires enterprise licensing. Cboe FX (formerly Hotspot FX): Cboe operates a massive institutional FX ECN. They sell historical tick data that reflects bids, offers, and executions from major banks, hedge funds, and high-frequency trading (HFT) firms. Their data is excellent for backtesting institutional strategies because it shows a true aggregated view of diverse market participants. LSEG (London Stock Exchange Group) Tick History: LSEG (which now owns Refinitiv/Reuters, the other major interbank FX platform) offers one of the most comprehensive tick databases in the world. They offer normalized Level 1 and Level 2 data reaching back decades. You can access it via cloud platforms like AWS S3 or Google BigQuery.
3. Data Aggregators and Vendors
These vendors purchase data from multiple venues (like EBS, Cboe, and various banks) and package it for quants and hedge funds.Algoseek: Known for providing incredibly detailed "as-is" data collected directly from Equinix co-location servers (where the matching engines live). They are highly regarded for institutional research. FactSet Tick History: Powered by BMLL Technologies, this service provides normalized Level 2 data and handles the heavy lifting of standardizing formats across different venues. Databento: While famous for disrupting the US Equities and Futures data market with an affordable "pay-as-you-go" API model for L2 and L3 data, their FX coverage is currently limited, though they are rapidly expanding. They are worth watching.What You Must Verify Before BuyingBefore purchasing any historical FX L2 dataset, you must confirm exactly what format you are getting:Snapshot vs. Event-Driven: Are they giving you a snapshot of the order book every 100 milliseconds (like EBS Spot FX), or are they giving you the raw ADD, MODIFY, CANCEL, and TRADE messages? To run a true discrete event simulation with accurate queue position tracking, you need the individual messages (MBO/Level 3). Snapshots force you to guess what happened between intervals. Timestamp Granularity: Are the timestamps in milliseconds, microseconds, or nanoseconds? For scalping simulations, you need microsecond precision at a minimum.Aggregation: Because FX is OTC, is the vendor showing you the book from one specific ECN, or a consolidated book from multiple feeds? A consolidated book might look deep, but you might not actually be able to execute against all of it from a single broker connection.
Or do you have any other secret way how to get properly data for your back testing?
Ideally tick by tick?
Thanks for reading,
have a nice day.
Getting high-quality Level 2 (Depth of Market/Order Book) tick data for forex is notoriously difficult compared to crypto or equities.
Because forex is a decentralized, over-the-counter (OTC) market, there is no single "National Best Bid and Offer" (NBBO) or central limit order book.
Liquidity is fragmented across various electronic communication networks (ECNs) and interbank platforms.
If you want to run realistic discrete event simulations for scalping, you need order book data that shows not just the top-of-book (Level 1) prices,
but the volume queuing at multiple price levels. Here is a breakdown of the best sources for L2 forex data, categorized by accessibility and institutional grade.
1. Free & Developer-Friendly Options
If you are just building your simulation framework or learning how to parse L2 data, start here before spending thousands of dollars.Dukascopy: This Swiss broker is famous in the quant community for providing high-quality, free historical tick data. While their standard historical data export is excellent for tick-by-tick Level 1 (top of book) data, getting full L2 depth historically requires pulling from their API or specialized platforms. TrueFX: A project by Integral (a major FX technology provider), TrueFX offers free, clean, institutional-grade top-of-book tick data. While primarily L1, it is excellent for testing your engine's parsing speed and handling millisecond timestamps. Crypto Exchanges (Alternative Sandbox): If your goal is simply to build and test the mechanics of an order book simulator (queue modeling, latency arrays, limit order fills), use crypto data first. Binance, OKX, and Coinbase offer free real-time WebSocket feeds of full L2/L3 order books, and platforms like Tardis.dev offer cheap, pristine historical order book data for crypto. The microstructure dynamics are different from FX, but the engineering challenges of handling the data are identical.
2. Institutional ECNs (The Gold Standard)
If you have a budget and need the most accurate representation of interbank liquidity, you need data sourced directly from the major ECNs. These platforms are where the real volume trades.EBS (CME Group): EBS is one of the two dominant interbank platforms (along with Reuters/Refinitiv). CME Group acquired EBS and now sells its historical market data. Their EBS Spot FX data provides up to 10 levels of order book depth, delivered in 100-millisecond time-slices. This is the institutional standard, but it requires enterprise licensing. Cboe FX (formerly Hotspot FX): Cboe operates a massive institutional FX ECN. They sell historical tick data that reflects bids, offers, and executions from major banks, hedge funds, and high-frequency trading (HFT) firms. Their data is excellent for backtesting institutional strategies because it shows a true aggregated view of diverse market participants. LSEG (London Stock Exchange Group) Tick History: LSEG (which now owns Refinitiv/Reuters, the other major interbank FX platform) offers one of the most comprehensive tick databases in the world. They offer normalized Level 1 and Level 2 data reaching back decades. You can access it via cloud platforms like AWS S3 or Google BigQuery.
3. Data Aggregators and Vendors
These vendors purchase data from multiple venues (like EBS, Cboe, and various banks) and package it for quants and hedge funds.Algoseek: Known for providing incredibly detailed "as-is" data collected directly from Equinix co-location servers (where the matching engines live). They are highly regarded for institutional research. FactSet Tick History: Powered by BMLL Technologies, this service provides normalized Level 2 data and handles the heavy lifting of standardizing formats across different venues. Databento: While famous for disrupting the US Equities and Futures data market with an affordable "pay-as-you-go" API model for L2 and L3 data, their FX coverage is currently limited, though they are rapidly expanding. They are worth watching.What You Must Verify Before BuyingBefore purchasing any historical FX L2 dataset, you must confirm exactly what format you are getting:Snapshot vs. Event-Driven: Are they giving you a snapshot of the order book every 100 milliseconds (like EBS Spot FX), or are they giving you the raw ADD, MODIFY, CANCEL, and TRADE messages? To run a true discrete event simulation with accurate queue position tracking, you need the individual messages (MBO/Level 3). Snapshots force you to guess what happened between intervals. Timestamp Granularity: Are the timestamps in milliseconds, microseconds, or nanoseconds? For scalping simulations, you need microsecond precision at a minimum.Aggregation: Because FX is OTC, is the vendor showing you the book from one specific ECN, or a consolidated book from multiple feeds? A consolidated book might look deep, but you might not actually be able to execute against all of it from a single broker connection.
Or do you have any other secret way how to get properly data for your back testing?
Ideally tick by tick?
Thanks for reading,
have a nice day.