Support Board
Date/Time: Tue, 07 Jan 2025 12:50:29 +0000
Post From: Depth market data for backtesting
| [2024-12-14 16:48:26] |
| Tr00pz - Posts: 12 |
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Don't mean to hijack the post, just had a relevant question to storing historical market depth data that may also be useful to the original poster. Each trade service you download data from stores the data file separately, though they all are using Denali data. Teton CME Order Routing - NQZ24_FUT_CME.2024-12-13.depth SC Data - All Services - NQZ24-CME.2024-12-13.depth Rithmic Direct- DTC - NQZ4.CME.2024-12-13.depth I'm planning on sticking with SC for many years and would like to store depth data past the 6 month rolling limit so should everything be stored using Teton? It's unfortunate that Denali data can't have a unified symbol for storage purposes regardless of what trade service you are connected to when it's downloaded, I'm sure you would have done so if it was possible. Thank you for your time. |