Support Board
Date/Time: Sun, 24 Nov 2024 07:58:48 +0000
Post From: ability to extract MBO data
| [2024-06-24 00:33:23] |
| Devang Jaiswal - Posts: 2 |
|
Hi, I built my own matching engine + simulator, and I would like to test it with sp500 futures data. There are services like databento (https://databento.com/portal/datasets/GLBX.MDP3/Futures/ES) which provide historical book updates tick by tick, was wondering if there was a way I can extract this data using sierra. I would like to run statistics such as what percentage of messages are adds/cancels/fills, etc. Thank you! |