I'm currently looking to hone a system using market depth however I am looking for a good source of historical level 2 data.
As of right now the best source of historical I have found is automated trader, however at 6 grand for 1 year I need to make some more money before that happens. The other vendor I'm in talks with is dxfeed, however I'm not sure if they offer level 2 historical data.
For my platform I use DTN IQ feeding into matlab which sends trades to IB. DTN IQ does not provide historical level 2 data.
If I can't find a good source I'm instead going to test by paper trading the same system on the current market to hone in a strategy.
Any other thoughts or opinions on how to get access to historical level 2 would be much appreciated.
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