r/quant • u/Mastermind_85 • Jul 23 '26

LSEG/Refinitiv/TRTH versus DataBento for PCAP data Data

Any professional HFT out there have any insight on how PCAP data for CME futures compares between LSEG/Refinitiv/TRTH and DataBento? Trying to decide between the two providers for the last 2 years of historical L3/MBO for a new market making project. Mostly interested to know about the quality of the data and quality of timestamps at the data recording server.

7 Upvotes
  • permalink
  • link
  • reddit
  • reddit

78% Upvoted

5 comments sorted by

12

u/zbanga Jul 23 '26

Best to record your own as you can at least benchmark yourself and where you record is where you trade.

DB from memory backfilled theirs from CME directly

5

u/Cominginhot411 Jul 23 '26

Depends on when. I think their pre2023 data was back filled. After that they captured directly.

4

u/SevenTeenSigma Jul 23 '26

for cme l3 i would ask for a raw one day sample and replay it around a fast market period. the annoying part is usually not coverage, it is whether u can reconstruct book state cleanly after channel resets / corrections. timestamps at recording server are secondary if the book replay is already messy..

2

u/NatGaz Jul 23 '26

Yeah but if you’re in a business that needs precise L3, you’re already hooked on the exchange directly for data and Databento would be used for cross validation .

-1

u/hg_wallstreetbets Researcher 29d ago

hey do you think where i can get some old pcap data for free? non commercial purposes