TQH Terminal: Historical Market Data

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 () events with unique 64-bit order IDs.

Why Microstructure Data Matters: Beyond Aggregated Bars

Most retail backtesting engines rely on aggregated time bars (1-minute, 5-minute, or 1-hour OHLCV). While sufficient for slow momentum strategies, bar-based backtests silently make catastrophic assumptions:

1. Infinite Liquidity Assumption: Assuming any order placed at a limit price is immediately filled without slippage.
2. Zero Queue Delay Assumption: Ignoring that limit orders sit at the back of a multi-thousand contract queue on CME Globex.
3. Invisible Liquidity Removal: Missing order cancellations and phantom liquidity spikes that occur in sub-millisecond windows.

Microstructure Insight: Strategies validated purely on aggregated bars routinely experience 40% to 70% alpha decay in live production. Order-level MBO and L2 depth allow you to model the exact mechanics that determine your true P&L: queue priority, true available liquidity, and real-world execution slippage.

Microstructure & Queue Priority Mechanics

CME Globex uses specific matching algorithms depending on the instrument:

• NQ (E-mini Nasdaq-100): Operates primarily on Strict Price-Time Priority (FIFO). Your place in the queue dictates your fill sequence down to the millisecond.
• ES (E-mini S&P 500): Employs a Split FIFO / Pro-Rata algorithm at outer price levels.

With TQH Terminal's Level 3 MBO data, backtesters can accurately simulate order placement by appending orders to the true historical queue at the moment of entry, tracking order cancels ahead of your position, and measuring exact fill latency.

Technical Specifications & Delivery

Quickstart Code Example (Python SDK)

import tqh

# Initialize TQH Terminal Market Data Client
client = tqh.MarketDataClient(api_key="YOUR_API_KEY")

# Stream Level 3 MBO events for NQ Globex futures
events = client.get_mbo_events(
    symbol="NQ_MAIN",
    start_time="2026-09-15T09:30:00Z",
    end_time="2026-09-15T10:00:00Z",
    precision="nanosecond"
)

# Reconstruct order book queue position
 event  events:
     event.action == :
        ()

Accessing Historical Data in TQH Terminal

All active TQH Terminal members and API subscriber keys have immediate access to the NQ and ES dataset endpoints.

• Web Terminal: Select NQ or ES in the terminal charting panel and toggle between L1 Bar, L2 DOM, and L3 Replay tabs.
• API Documentation: Visit our developer portal for full REST endpoints, WebSocket schema references, and sample notebooks.

TheQuantHackers Crew