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NQ and ES (CME Globex) historical depth is live in TQH Terminal — Level 1 top-of-book from 2010, plus Level 2 depth and Level 3 MBO for the last 30 days, with nanosecond exchange timestamps via REST / WebSocket replay.
We're announcing historical market data coverage in TQH Terminal for the two instruments most requested by the community: NQ (E-mini Nasdaq-100) and ES (E-mini S&P 500), both from CME Globex. Coverage spans all three depth tiers: Level 1 — Top of Book Best bid and ask quotes, sizes, and trade prints, tick-by-tick, with exchange-side timestamps. Full history from 2010 — present (about 16 years). Level 2 — Market Depth Aggregated order book by price level, enabling full DOM reconstruction, liquidity profiling, and order book imbalance research. Last 30 days. Level 3 — Market By Order (MBO) Order-level granularity: every add, modify, cancel, and fill event. This allows complete order book reconstruction, queue position modeling, and realistic execution simulation — the standard used by institutional microstructure research desks. Last 30 days. Why it matters Most retail backtests are built on aggregated bars, which silently assume perfect fills and infinite liquidity. Strategies validated this way routinely fail in production. Order-level and depth data allow you to model the mechanics that actually determine your P&L: where you sit in the queue, what liquidity was genuinely available, and what your true slippage would have been. Specifications • Instruments: NQ, ES (CME Globex) • History Level 1: 2010 — present (about 16 years) • History Level 2 / Level 3: last 30 days • Timestamps: nanosecond precision, exchange-side • Delivery: REST API / WebSocket replay — TheQuantHackers Crew