Rithmic API+ Historical data download

Futures Trading Platforms Rithmic Trader (R | Trader) and RAPI
1

Hi,

As I learned from this forum and other online discussion, Rithmic API+ (the one charges min. $100/month) seems providing both full market depth data and MBO (market by order) data. I’m wondering if it also provides historical full depth and MBO data for downloading via their API+ using my own program. If yes, how long history does it provide and how much data allowed to download? Thank you!

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Hi @Jesse,

Thanks for your question and welcome to the Optimus community!

Rithmic’s data feed provides historical time data back the creation of most future contracts. Rithmic also provides up to 1 month of historical tick data. This is available for both RAPI+ and Rithmic users across most platforms.

To my knowledge this does include full market depth MBO data as well!

I hope this helps. If you have any further questions don’t hesitate to reach out.
Thanks,
Jake
Optimus Futures Support

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Thank you @Mod-JakeM !

So the MBO historical data are 1-month long as tick data, I suppose. Is there a way to obtain low-cost MBO historical data for longer time frame, for example 6 months to 1 year? I know CME datamine sells the data but it’s pretty expensive, like $700 per month per symbol.

Another question is: if I subscribe the R API+, does the $100 cost cover the R Trader Pro app as well? Thanks!

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Hi @Jesse,

You are welcome. In regards to time-based MBO data, to my knowledge, most contracts have historical data dating back to the creation of each contract.

It is only tick-based data that is limited to 1 month. Out of all the data feeds we work with, I believe Rithmic has the most historical tick data available. I’ll need to look into whether or not other data feed providers or data services can provide more than 1+ month of historical Futures tick data.

Yes, R Trader Pro is available to all Rithmic users. You would be more than welcome to login to your Rithmic account on R Trader Pro to manage positions/orders or analyze data.

Let me know if you have any further questions!
Thanks,
Jake
Optimus Futures Support

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That’s great! I already have OHLC tick data and market depth data, but not historical MBO. To my understanding, MBO data are at the finest level, comparing to OHCL tick and aggregated market depth. If Rithmic has full historical MBO, that saves my life! It’s partially the reason I’m considering to switch to Rithmic. Thank you for the explanation!

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Hi Jake,
On a separate topic of this data, do you know if CME Group (via Rithmic’s feed) provides MBO data for exchange-supported futures spreads? If not, are you aware of a way to manually infer some MBO data in a similar manner/process which occurs when calculating implied prices of a spread? So using MBO from legs to roughly estimate ‘net MBO’ on each price level in the spread?

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Hi @CopperMS,

Thanks for following up on this!

To my knowledge, all Rithmic data, regardless of the product or type, is MBO by nature as long as your account is configured for level 2 market depth data.

I will reach out to RIthmic and ask them about this to confirm.

I am not familiar with anyway to import or transfer this type of data to conduct the calculations you are looking for, but you may not need to!

I will keep you updated on what Rithmic says.

Thanks,
Jake
Optimus Futures Support

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Hi @Mod-JakeM ,
Actually, I emailed Rithmic shortly before posting this question here, and they affirmed that yes, they do have MBO data for fut spreads, so all’s good.

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Thank you for letting us know!