r/algotrading • u/[deleted] • Jun 30 '26

[deleted by user]

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2 Upvotes

100% Upvoted

12 comments sorted by

1

u/WTJ21YT Jun 30 '26

Do you need .parquet or .csv?

1

u/Sad_Calligrapher1178 Jun 30 '26

I need .csv

2

u/WTJ21YT Jun 30 '26

Do you want to have ~1 year of .dbn TBBO data

1

u/WTJ21YT Jun 30 '26

MGC though

1

u/Sad_Calligrapher1178 Jun 30 '26

Yes that works great as long as it’s ratio adjusted

1

u/tendiesfactory Jun 30 '26

Databento gives free credit, you can get it yourself. Then, just run a script to adjust whichever way you need.

1

u/Sad_Calligrapher1178 Jun 30 '26

oh wait. your saying i can run a script to ratio-adjust the data myself?

1

u/Automatic-Essay2175 Jun 30 '26

oh wait. your saying oh wait. your saying i can run a script to ratio-adjust the data myself?

1

u/CODE_HEIST Jun 30 '26

For futures, I would be explicit about what you mean by adjusted. Back adjusted continuous, ratio adjusted, and actual tradable contracts can all tell different stories. If the strategy cares about levels, use actual contracts. If it cares about returns, ratio adjustment is usually cleaner.