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.
Thank you! I know that NASDAQ and CME also have designated market makers, but I couldn't find any specific privileges they have over non-market makers, apart from the different fee schedules. Is the ability of NYSE designated market makers to handle order fills a common practice across other exchanges?
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.
Sadly, it is becoming more like trad-fi. In the past, anyone could receive rebates for market making, but these days, only high-tier traders, trading companies, can benefit from them. The tier hurdle is getting higher. Also, there are now different APIs and limits for individual traders and high-tier trading companies.
I partly agree with you. Firstly, this is primarily a backtesting tool, allowing you to test under different latency setups. The example in the project demonstrates its use. Secondly, crypto exchanges is slow. Even though they provide low-latency APIs to higher-tiered traders, but I believe they are still slower compared to trad-fi. But, the market data is public, there might be differences in the data received by higher-tiered traders. These enable individuals to analyze the market and start projects like this.