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Historical order book data
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Historical order book data

  #1 (permalink)
Elite Member
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Historical order book data

Anybody knows dataprovider which has historical order book data?

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  #2 (permalink)
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VasilyS View Post
Anybody knows dataprovider which has historical order book data?

If you mean historical bid/ask, then IQFeed does for their tick retention period which is currently 180 days. It will give you the inside bid and ask, tick aligned. There is no historical depth of market however.

You can find several years of historical bid/ask data here for a variety of instruments:
https://futures.io/elite-circle/7279-official-gomrecorder-qcollector-tick-data-sharing-thread.html

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CME actually sell it, but I bet it's expensive

http://www.cmegroup.com/market-data/datamine-historical-data/#marketDepth

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That is not what I need actually. For example on russian market I get raw data, where I can see every order in -+10% zone of daily open price, so I can count my queue exactly and build hft strategies. I'm looking for same data on CME. What they offer is just cumulative bid/ask on 10 levels.

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  #6 (permalink)
Market Wizard
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VasilyS View Post
That is not what I need actually. For example on russian market I get raw data, where I can see every order in -+10% zone of daily open price, so I can count my queue exactly and build hft strategies. I'm looking for same data on CME. What they offer is just cumulative bid/ask on 10 levels.

CME only show 10 levels I don't believe that there is anyway to see deeper than 10 levels whether trading live or looking historically.

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