This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE.
It does not have to be a lot, only a day and need not require a large depth. I was using the free samples from Lobsterdata, but I realised that their data isn't correct. (Apparently they think AMZN and AAPL were trading at \$223 and \$585 in 2012!).
I already looked at the master list but they don't have free options of the order book data similar to what lobster has.
