Support Board
Date/Time: Mon, 02 Mar 2026 12:11:11 +0000
Post From: Recording vs. downloading historical market depth data
| [2026-01-15 17:27:49] |
| curious16 - Posts: 36 |
|
Thank you for clarifying. Let me ask for further detail taking ES as an example. These contracts roll on a quarterly basis. That is, you would typically have around 90 days (maybe a bit more) of depth data for ESZ25, ESH26 etc. Does the 180 day limit mean you do not store more than that amount for any single contract. This may be a limitation for long-lived contracts (e.g. the December CL contracts) but not so much for the quarterly rolling ES contracts. Or does the 180 day limit mean you do not provide older contract data for back-testing. For instance, if I wanted to check how a trading method that uses depth data applies to ESH25, ESH24 etc. in the first quarter of these respective years, can you provide this depth data? It would be highly valuable to have this data even if it is necessary to download it from a separate server. I understand that depth data is quite voluminous and you will want to focus primarily on the current contracts that are actively traded. Is downloading and locally storing the currently traded contract data the only way to build a history of depth data? |