Looking for Historical Market Depth data

January 15th, 2024, 03:02 PM

Hi,

I started using Sierra chart to automate my order flow based strategies and backtest new ideas. I just found out I can only have 6months of historical market depth & MBO data.

Did anyone found a way / data feed or provider to get either Denali or Rithmic Market depth for at least a few years for the main CME indexes contracts ? Or if someone keept his market data files for a few years and would be willing to help it would be amazing.

Thanks for the help !

February 11th, 2024, 02:23 PM

Still haven't found anyone who actually preserved his MD files over the years. Still interested

February 11th, 2024, 03:58 PM

That may help you. He talks about backtesting DOM data and downloading data in SC.

February 11th, 2024, 04:05 PM

This is the only way I found to get past market replay data:

https://www.theintentionaltrader.com/mrdd-eas/

Looking for Historical Market Depth data

Discussion in Sierra Chart

Looking for Historical Market Depth data