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Date/Time: Tue, 26 Nov 2024 02:41:41 +0000
[User Discussion] - Looking for historical market depth data
View Count: 325
| [2024-01-16 09:16:54] |
| GuillaumeJ - Posts: 10 |
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Hi, I would like to backtest / replay market depth based strategies, how ever I found out I can only have 6months of historical market depth & MBO data. Did anyone found a way / data feed or provider to get either Denali or Rithmic Market depth for at least a few years for the main CME indexes contracts ? Or if someone by miracle keept his market data files for a few years and would be willing to help it would be amazing. Thanks for the help ! |
| [2024-01-21 08:06:23] |
| Khas - Posts: 2 |
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Also interested in market depth data for the past 4-5 years or older - just the SierraChart depth files would be amazing as long as they were pulled or recorded accurately. I am just looking for basic US equity futures (ES / NQ / RTY) at this point. I know CME sells their data in Datamine. The only full depth files they offer are the ones which include MBO ($575 per month of data or $33,000 for all available on each symbol). |
| [2024-01-22 09:27:04] |
| GuillaumeJ - Posts: 10 |
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Yes sir that's exactly what I'm looking for and CME is no the answer for me neither
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