Boston, MA
Experience: Beginner
Platform: IB
Trading: Stocks
Posts: 29 since Feb 2012
Thanks Given: 7
Thanks Received: 21
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Hi All,
This is my first post and I couldn't find the answer to this anywhere on the site, if you find it don't hesitate to point it out. Just as an FYI for my platform I use DTN IQ feeding into matlab which sends trades to IB.
I'm currently looking to hone a system using market depth however I am looking for a good source of historical level 2 data.
As of right now the best source of historical I have found is Historical Tick Data | Entire Market Packages | Daily Updates | Automated Trader Magazine, however at 6 grand for 1 year I need to make some more money before that happens.
The other vendor I'm in talks with is dxFeed Market Data - DXFeed Historical Tick Data Replay and Analysis, however I'm not sure if they offer level 2 historical data.
I'm currently using DTN IQ who does not provide historical level 2 data.
If I can't find a good source I'm instead going to test by paper trading the same system on the current market to hone in a strategy.
Any other thoughts or opinions on how to get access to historical level 2 would be much appreciated.
Thanks for the help,
Dylan
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