@thequanthackers: Executive Announcement We are excited to announce full historical market data coverage in TQH Terminal for the two benchmark instruments most requested by our quantitative trading community: NQ E-mini Nasdaq-100 Futures (CME Globex) ES E-mini S&P 500 Futures (CME Globex) Together, these two contracts represent over 65% of global equity index futures trading volume. Coverage now spans all three fundamental data depth tiers ranging from multi-year top-of-book tick archives to order-level Market By Order (MBO) granularity. Data Depth Tiers Explained Tier 1: Level 1 Top of Book (L1 BBO) Level 1 provides continuous tick-by-tick updates of the Best Bid and Offer (BBO), bid/ask sizes, and individual trade executions. Coverage Period: 2010 Present (~16 years of continuous history across 4,000+ trading sessions). Core Elements: Top-of-book bid/ask quotes, quote sizes, trade prices, trade volume, aggressive aggressor flags (buy vs. sell side), and exchange-side timestamps. Primary Use Cases: Multi-year macro regime analysis, long-term statistical arbitrage, daily volatility surface estimation, and high-frequency baseline backtesting. Tier 2: Level 2 Market Depth (L2 DOM) Level 2 delivers aggregated order book snapshots aggregated by price level up to 10 levels of depth on both bid and ask sides. Coverage Period: Last 30 Days (Rolling Window). Core Elements: 10-level price distribution, size per price level, total order count per price level, and microsecond-interval book updates. Primary Use Cases: Depth of Market (DOM) visualization, order book imbalance (OBI) signal generation, liquidity profile tracking, and large order (iceberg) detection. Tier 3: Level 3 Market By Order (L3 MBO) Level 3 represents the gold standard in market microstructure research. Instead of price-aggregated summaries, Level 3 streams every individual order event directly from CME Globex MDP 3.0. Coverage Period: Last 30 Days (Rolling Window). Core Elements: Order Add (A), Order Modify (M), Order Cancel (C), and Order Execution (E) events with unique 64-bit order IDs. Primary Use Cases: Full deterministic order book reconstruction, exact queue position tracking, Queue-Jump algorithms, and institutional execution simulation. More details: https://thequanthackers.com/news/tqh-terminal-historical-market-data-nq-es #quant #trading #finance #coding #math

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Friday 18 September 2026 00:08:55 GMT