Order Flow Data: Examples, Providers & Datasets to Buy
- Overview
- Datasets
- Attributes
- Guide
- FAQ
- Overview
- Datasets
- Attributes
- Guide
- FAQ
What is Order Flow Data?
Order flow data is a record of market activity around orders. It captures the time, size, direction (buy/sell), and actions taken on each order such as placement, execution, or cancellation. Unlike static order book data, order flow is extracted from actual trade and volume activity. When delivered in real time, it’s often referred to simply as “flow” data.
This data is highly sought after by institutional buyers (quant funds, hedge funds, and large financial firms) because it offers instant insights into how markets are moving, where liquidity is shifting, and what market participants are doing.
What Are Examples of Order Flow Data?
Order flow data can include:
- Time & Sales (Tape): Each individual trade is recorded and timestamped. The data includes price, size (volume), and whether the trade was buyer- or seller-initiated.
- Order Book Changes: This shows how the order book evolves in real time. It tracks new orders being added, existing orders being modified (size or price), and orders being canceled.
- Market-by-Order (MBO): This provides a full view of individual orders at each price level. Traders can see the exact size, price, and sometimes the participant behind each order.
- Market-by-Price (MBP): This aggregates orders at each price level. Instead of showing individual orders, it shows the total volume available to buy or sell at each price.
- Trade Condition Flags: These are special tags or indicators attached to trades. They show details like whether a trade was a sweep order, whether it bypassed certain protections, or whether it was a hidden order.
- Quote Updates: This captures every change to the Best Bid and Offer (BBO) — the highest price to buy and the lowest price to sell.
Best Order Flow Data Providers & Datasets
Here is our curated selection of top Order Flow Data sources. We focus on key factors such as data reliability, accuracy, and flexibility to meet diverse use-case requirements. These datasets are provided by trusted providers known for delivering high-quality, up-to-date information.
Real-Time Order Flow Data by Investor Types | Korean Market | Alternative Data
Machine Learning Data | Korean Market | Real-Time Order Flow Data by Investor Types
AI Training Data | Annotated Checkout Flows for Retail, Restaurant, and Marketplace Websites
AI Training Data | US Transcription Data| Unique Consumer Sentiment Data: Transcription of the calls to the companies
PowerMap U.S. | Order flow Analytics data
Exchange-Specific Crypto Market Data: Trading Metrics from Binance, Bybit, Coinbase and more
answr - Risks and forecasting (global scale)
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Main Attributes of Order Flow Data
Good order flow datasets typically include:
- Timestamp (microsecond or nanosecond precision).
- Buy/Sell Indicator.
- Order Size & Price.
- Order Status (open, executed, canceled).
- Venue/Exchange Code.
- Order Book Level (MBO, MBP, Level I/II).
- Order Modifications & Flags.
- Participant Identifiers (where available).
- Trade Condition Tags.
Datasets should also come with clear documentation and be time-synchronized with market clocks.
| Attribute | Type | Description | Action |
|---|---|---|---|
| String | The ticker symbol of a stock. | View 3 datasets | |
| String | A hashed email address with algorithms like SHA, MD5, etc. | View 1 datasets |
Why Is Order Flow Data Important?
- Real-time Market Intelligence: Order flow gives immediate insights into market sentiment and participant behavior—beyond what price data alone reveals.
- Predictive Trading Signals: Imbalances in order flow can signal likely short-term price movements before they appear on the tape.
- Liquidity Insights: Order flow helps traders anticipate where liquidity is building or vanishing, informing better execution strategies.
- Execution Quality: It enables smarter routing and timing of trades to optimize fills and reduce trading costs.
- Regulatory Oversight: Regulators use order flow data to detect and investigate manipulative trading patterns, ensuring fair market practices.
Frequently Asked Questions
How is the Quality of Order Flow Data Maintained?
The quality of Order Flow Data is ensured through rigorous validation processes, such as cross-referencing with reliable sources, monitoring accuracy rates, and filtering out inconsistencies. High-quality datasets often report match rates, regular updates, and adherence to industry standards.
How Frequently is Order Flow Data Updated?
The update frequency for Order Flow Data varies by provider and dataset. Some datasets are refreshed daily or weekly, while others update less frequently. When evaluating options, ensure you select a dataset with a frequency that suits your specific use case.
Is Order Flow Data Secure?
The security of Order Flow Data is prioritized through compliance with industry standards, including encryption, anonymization, and secure delivery methods like SFTP and APIs. At Datarade, we enforce strict policies, requiring all our providers to adhere to regulations such as GDPR, CCPA, and other relevant data protection standards.
How is Order Flow Data Delivered?
Order Flow Data can be delivered in formats such as CSV, JSON, XML, or via APIs, enabling seamless integration into your systems. Delivery frequencies range from real-time updates to scheduled intervals (daily, weekly, monthly, or on-demand). Choose datasets that align with your preferred delivery method and system compatibility for Order Flow Data.
How Much Does Order Flow Data Cost?
The cost of Order Flow Data depends on factors like the datasets size, scope, update frequency, and customization level. Pricing models may include one-off purchases, monthly or yearly subscriptions, or usage-based fees. Many providers offer free samples, allowing you to evaluate the suitability of Order Flow Data for your needs.
