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Comment by nkaz001 | Hacker News Reader

No, that's why the project focuses more on cryptocurrency, which offers easier access to data and the market. I'm trying to understand trad-fi markets and implementing L3 market-by-order backtesting using Databento data, but creating a live bot without the market access would be impossible.

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Interactive brokers is probably the best non-professional setup I’m aware of. You won’t get hft level latencies or price feeds.

to get good historical data in “trad-fi” you would need to map all the trades by code to filter out bad ticks before aggregating into bars. This alone is enough of a barrier to keep most retail traders out of the space

databento provides high-quality market-by-order data at a reasonable price, so at least I can play with the data, though I'm unsure about actual trading. That's why people including me like crypto.

from what I understand, databento is just aggregating exchange data. They must have some deal for processed data. Their MBO data is not cheap and they don't have much history. I would not trust their bars without a whitepaper documenting how they clean each market.

“by code” what codes? Do you mean offered but cancelled bids/asks and things like that?

No. The major concern is that bad ticks make it through your filters, which is more than likely going to make your models do something wonky.

It's been many years since I worked on cleaning data but essentially each event you receive is mapped to a code. Depending on your data provider, those codes may change at any time. Thomson Reuters is/was quite notorious for this. Maybe after Refinitiv spun out they cleaned up that mess but from what I have heard it is unlikely.

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