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Hi, I want to replay a few days from this year to train using the DOM and the footprint chart, so I need a platform/data feed combination that offers tick data from the past at least 10 months.
I've tried Sierra chart with the Denali feed, but they don't provide historical tick data.
Also tried Tradeovate replay but it only works 2 weeks from the current day.
Can someone recommend me a platform that allows me to replay days like from April with accurate footprint/DOM simulation?
thanks in advance.
Can you help answer these questions from other members on NexusFi?
I don't know of any broker that has more than a few days of tick data available. You saying Tradovate offer ten days is the most I have heard of.
For a footprint chart that uses level 1 data, traded volume. For a DOM you would want the historic level 2 data also to show the historic order book as it was. That is a lot of data for a single day, let alone ten months work being stored by a company on every available contract.
The only platform I can think of off the top of my head that allows historic data to be replayed from any date is Bookmap (which is a Heatmap not a Footprint chart), but only if the platform had been running to record the data itself at that time as it will record the complete level 1 and level 2 data and save the files on your computer. From their website it appears some subscribers use Bookmap purely for harvesting complete market data for their own analysis rather than as a trading platform.
The question that comes to mind for me would be why you need more than Tradovate's ten days anyway if you presumably want to practice your trading ideas on replay. April's Covid market volatility and lack of liquidity are a rare thing so why not focus on trading more normal times? If you can replay trade the past ten days successfully, you can probably trade reasonably successfully tomorrow. But having said that maybe you have different plans for the data.
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
Yeah April as an example, I want to practice trading using the DOM through all the different market conditions that happened through the year.
From what I've been searching, an option for me is to use IQfeed and enable the Deth of Market setting, they store level 2 data up to 10 levels, but that's 243/month.
Sure, IQFeed have a great reputation for data, and they provide various amounts of data from recent tick data to long way back for End of Day.
But are you sure you can use that data for historic replay, ie download a file of data from the past and load that in to the trading platform you have in mind and replay it through the DOM and charts.
IQFeed do have a one week trial you can sign up for once you have a platform in mind to try it, but I think a lot of platforms that will allow non broker data feeds for real time data may not be able to access historic data files and read those.
You do not win as a trader, you just get to play again the next day. If that game doesn’t appeal to you then you should not trade. Gary Norden
Instead of looking for a year's worth of data, it might be a good idea to just start doing a replay session every week (or every day or whatever) and build a habit out of it.
Personally, I use Ninjatrader and run replay sessions a couple of times a week. I don't use the DOM but I'm assuming it'd work fine for replay purposes.
