I am a software engineer and want to run some simulation of over historical market data . I am pretty new to finance and trading world. To automate some of my strategies I would like to run some back test simulations. Could you give me some guidance on what is a particular setup you guys use , specially for he different data sources. Where do you usually buy historical tick data from. For live trading i am considering Interactive brokers and subscribing to the real time market data stream . But before i start trading i want to create a similar training data to run my models and get some expected results. Also it would help to get to know what are other sources of historical data information do you usually supplement your data with

  • $\begingroup$ Possible duplicate of quant.stackexchange.com/questions/3078/… $\endgroup$
    – Alex C
    Oct 7, 2018 at 23:59
  • $\begingroup$ Do you really need historical Level 2 data? I have found it to be too expensive for an amateur like me. I was once quoted a figure higher than my annual salary... $\endgroup$
    – nbbo2
    Oct 8, 2018 at 0:03
  • $\begingroup$ I am fine with level 1 data right now as well. Level 2 does seem too expensive $\endgroup$
    – user179156
    Oct 15, 2018 at 4:59
  • $\begingroup$ Just a note, be certain of two things. First, the data does not actually appear in the order in which it happened. Some trades happen "off the tape," which means the trade in inserted after completion of a block order. So, for example, a trade of 10,000 shares could be made up of 100 trades whose size is 100 shares, but it would appear as one trade after the fact. Depending on the time period, it is to be inserted at a point that the announcement of the trade would not disrupt the price. The historical record is only literal for thinly traded securities. $\endgroup$ Jul 28, 2019 at 20:37
  • $\begingroup$ Second, if you use historical backtesting, everyone seems to forget that had you traded you would have shifted the supply and demand curves, sometimes quite a bit. You need to adjust buy prices upward by at least the liquidity cost for purchases of the size you are contemplating and the sell price downward. $\endgroup$ Jul 28, 2019 at 20:39

2 Answers 2


Not to sure how much data you need, but I found Coinscious quoted the most affordable prices for historical data. You can get them as flat files or they offer API access. Their free level might work for you to start.


all the crypto markets have free level 2 data. good and inexpensive place to learn the ropes.


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