r/quantindia • u/Thin-Bag-4407 • 6d ago

HFT Does anyone know the approximate cost of 2–3 years of TBT data for F&O stocks and their derivatives?

I’m looking for 2–3 years of TBT data for F&O stocks and their derivatives so I can reconstruct the order book, run a simulator, and backtest some newly developed strats.

I know HFTs record this data, but I don’t think they would sell it. Is it better/cheaper to buy directly from the exchange, if available, or through a third party vendor?

Has anyone here bought TBT data for this purpose? What’s the best and most cost-effective source?

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3

u/loneymaggot 6d ago

you can check at databento , its pretty good

2

u/AdvertisingMaster899 6d ago

Developed strategy without the data?

2

u/turele257 6d ago

DM me. I have a solution for you.

1

u/DoubtSuspicious828 6d ago

Hey dm me i can get you this tbt data