Python & Tech · Technical Publication

Market Data for Quantitative Research: Tick Data, Order Books & Alt Data

A comprehensive guide to market data types: Daily OHLCV bars, Tick Data, Limit Order Book (LOB) Level 2/3, Fundamentals, and Alternative Data.

Technical White Paper Enter QuantLab

Publication TrackPython & Tech

Date of Release2026-07-23

Reading Time10 min read

StatusVerified Engineering Article

#Market Data#Tick Data#Order Book#Level 2 Data#Alternative Data

Executive Brief

Key Takeaways

01.Bar data (OHLCV) is simple but masks intra-bar execution realities.
02.Level 2 and Level 3 Limit Order Book (LOB) data reveal bid/ask liquidity depth and order flow imbalance.
03.Alternative Data (satellite images, credit card feeds, web traffic) offers uncrowded alpha sources.

Types of Quantitative Market Data

Market data for quant research falls into 4 tiers of granularity: 1) OHLCV aggregated candles, 2) Tick trade prints, 3) Limit Order Book depth (Level 2/3), and 4) Unstructured Alternative Data (satellite, web scraping, sentiment).

Data quality directly determines model accuracy. Garbage in results in garbage out.

Frequently Asked Questions

Where can quants get free historical market data?

Popular free or low-cost APIs include Yahoo Finance, Alpha Vantage, Polygon.io, Financial Modeling Prep, and Binance public tick dumps.

#Market Data#Tick Data#Order Book#Level 2 Data#Alternative Data

Executive Brief

Key Takeaways

01.Bar data (OHLCV) is simple but masks intra-bar execution realities.
02.Level 2 and Level 3 Limit Order Book (LOB) data reveal bid/ask liquidity depth and order flow imbalance.
03.Alternative Data (satellite images, credit card feeds, web traffic) offers uncrowded alpha sources.

Types of Quantitative Market Data

Data quality directly determines model accuracy. Garbage in results in garbage out.

Frequently Asked Questions

Where can quants get free historical market data?

Popular free or low-cost APIs include Yahoo Finance, Alpha Vantage, Polygon.io, Financial Modeling Prep, and Binance public tick dumps.