Order queue position modeling?

Historical MBO data is about $300/instrument/year for CME products at databento.com

I heard dxfeed.com has competitive pricing if you don't need an ultra low latency setup. quanthouse.com and maystreet.com also have a good reputation and wide market coverage.

AFAIK, maystreet provides DMA solution as well. They also sell historical data. Not sure about the cost. Of course, there are big names such as Bloomberg, Refinitiv(formerly Thomson Reuters), ICE data services.

Also, CME directly sells the data https://datamine.cmegroup.com/ and has cloud-based feed services.

I heard CME requires a separate license to receive the feed even if you receive it through a third-party vendor. It would be a few thousand dollars per month.

If you're interested in Asian markets, HKEX and JPX directly sell MBO historical data at relatively low prices.

/r/highfreqtrading Thread Parent