Support Board
Date/Time: Sun, 24 Nov 2024 05:09:55 +0000
ability to extract MBO data
View Count: 213
| [2024-06-24 00:33:23] |
| Devang Jaiswal - Posts: 2 |
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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! |
| [2024-06-24 17:31:15] |
| John - SC Support - Posts: 36238 |
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Refer to the following: ACSIL Programming Concepts: Programmatically Accessing Historical and Current Market Depth Data For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
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