Databento

Hey Fu510n, with IQFeed you can’t download MBO data historically, you can just record it from the feed, save it for later. I have a lot of bad experience with their MBO feed (I think I wrote about it in the thread about coding custom platforms where we chatted a bit). I can’t recommend Databento enough. Support knows their stuff (as it’s the devs themselves), pricing is great, data structure is great, instrument coverage is absolutely insane. I know we talked about langugaes and perf....

Unless you understand the MDP 3.0 specification, it will be difficult for you to work with this data. Not impossible but very difficult to learn the specification and extract the data you want. I won't get into the details but it is better if you just write off this purchase and look for a different data vendor. For what you want, your best choice is Databento IMO. Go to databento.com and purchase the MBO schema for the specific dates you want. It will cost you < $1 for one day....