Does anyone know the approximate cost of 2–3 years of TBT data for F&O stocks and their derivatives?
I’m looking for 2–3 years of TBT data for F&O stocks and their derivatives so I can reconstruct the order book, run a simulator, and backtest some newly developed strats.
I know HFTs record this data, but I don’t think they would sell it. Is it better/cheaper to buy directly from the exchange, if available, or through a third party vendor?
Has anyone here bought TBT data for this purpose? What’s the best and most cost-effective source?