Looking for where to buy high-quality historical data in the format of the tick by tick Level 2 (depth market) Data from the banks of the ECN, any broker, specialized firms. Advise, who sells such data? What are the trading companies give customers download historical data Level 2/ All sell\download the story in the format of Level 1 ((((( Three years engaged in mathematical research, has developed a strong model, I want to check on the historical data of different companies, which provide such data.
I've heard good things about OlsenData. Never used them myself and not sure if they offer exactly what you're looking for but worth checking
You'll likely find this unhelpful, but the only thing I know of that may address your needs is CME DataMine Market Depth files on FX futures. Nanex also offers historical market depth on CME. I'm not aware of level 2 spot FX data avaiable anywhere I'm afraid.
CME protocol MDP 3.0 -(((((( Because of the specifics of the protocol to analyze the microstructure LEVEL 2 became difficult. Price Nanex: The fee for historical CME Euro FX futures is $150/month. This includes all of the futures and options on futures. The data will consist of trades and depth of market bid/ask data. There is a 15% discount for purchasing over 2 years. You indicated you would like to receive 3 years, the fee will be $4590. RealTime: Account Setup Fee: $250/one-time NxCore Fee: $350/user/month CME User Fee: $91/user/month P.S. He was ready to pay, but the example of data, greatly disappointed. MDP 3.0 protocol for the analysis of microstructures LEVEL 2, terrible!!!!
FXopen is a company that saves Level 2 historical data on currency. I use this data, but I want to find more other companies.
What difficulties are you having with MDP 3.0? You can use tag 37705 to unbundle the trades so that it is functionally the same as FIX/FAST in that sense. The aggregation of several depth updates together is a drag for sure. Aside from that, I don't know of any reason that Nanex data would be more suitable than CME's. Nanex doesn't distribute some information in the CME feed, and Nanex's product is obviously a derivative of the CME feed, so it's hard for me to see how the MDP 3.0 structure is the hang up when compared to Nanex. I'd love to hear reasons though as I'm wrestling with the same sort of stuff.
Hi, Have you an url? In google FXOpen point to a MT4 broker and I didn't find link to historical data. thanks in advance.
@Northid i never saw your message on skype about your MDP 3.0 issues, shoot me a private message on here discussing them if you care to, please. Best of luck.