Historical full order book for a market that you don't trade in

radikal · Post by **radikal** » Mon Sep 16, 2013 5:04 am

Ask a trading firm to sell it to you? Granted, it has to be one that you think is recording data to your accuracy requirements...

What market? For some of the US stuff, there are some 3rd party options.

Scotty · Post by **Scotty** » Mon Sep 16, 2013 5:18 am

Sorry, don't have an answer to your question, but could I ask what you expect to store the data in?

christine.s · Post by **christine.s** » Mon Sep 16, 2013 6:29 am

DrGrumpy · Post by **DrGrumpy** » Mon Sep 16, 2013 6:55 am

Without presuming to guess what Scotty meant, I interpreted his question as:

CSV vs. SQL vs. Mongo vs. XML vs. bespoke

not

HDD vs. floppy (5.25") vs. tape vs. clay tablet

But thank you. That was the funniest thing I've read all day.

v510R · Post by **v510R** » Mon Sep 16, 2013 7:45 am

By "full order flow" do you literally mean the full book, or would 10 deep suffice? If the latter would do, have you talked to Activ?

http://www.activfinancial.com/images/uploads/ActivFeedStatus.pdf

There are others, but Activ was the only one I could easily find the exchange list for.

Scotty · Post by **Scotty** » Mon Sep 16, 2013 8:57 am

Thanks Dr Grumpy!

No, I wan't asking for advice. ${L_SMILIES_SMILE}$ More a matter of understanding what people are thinking about and using in this space.

What I meant was will you store the OB data in a proprietary database like kdb or onetick or something open source like MongoDB or maybe SciDB? Holding these massive amounts of data is non-trivial.

Then, with a database, do you expect to have some sort of Complex Event Processing engine linked to it?

christine.s · Post by **christine.s** » Mon Sep 16, 2013 9:56 am

HitmanH · Post by **HitmanH** » Mon Sep 16, 2013 4:18 pm

Christine - no easy way to do this - As you imply on the start - take a machine in colo, write / purchase your own feed handler, and record away.

No other way to do it. Consider it a pre-live / research expense for entering that market...

(and not sure your scale - and where you're based - but can work with accountants / tax advisor to potentially segregate this - and if after analysis of the data - you don't end up giving live there - there as ways to carry this as a loss vs other profits)

christine.s · Post by **christine.s** » Mon Sep 16, 2013 5:09 pm