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Quantoscope
, a microscope for quants - reconstruct the book, access L3 microstructure features, plot them, and download all the data
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Admin - All Users
Instrument:
Exchange:
NASDAQ
NYSE
NYSE Arca
NYSE American
NYSE Chicago
NYSE National
Cboe BZX
Cboe BYX
Cboe EDGA
Cboe EDGX
IEX
MEMX
MIAX
CME Globex
Eurex
ICE Europe Financials
ICE Futures US
ICE Endex
European Energy Exchange
OPRA
Databento Equities Basic
Databento US Equities Mini
Databento US Equities Summary
Start Date:
Start Time:
Duration:
minutes
Schema:
MBO
MBP10
OHLCV
Time Bucket:
1 Nanosecond
10 Nanoseconds
100 Nanoseconds
1 Microsecond
10 Microseconds
100 Microseconds
1 Millisecond
10 Milliseconds
100 Milliseconds
1 Second
10 Seconds
1 Minute
10 Minutes
1 Hour
OHLCV reconstruction bucket
Pipeline Options
Pipeline Configuration
Data Source
Fetch new data from Databento
Use existing session data
Session ID:
Loading...
Export Files (for download package)
Export Original MBP-10 JSON
(raw data from Databento)
Export Original OHLCV JSON
Export Reconstructed MBP-10 JSON
(from order book)
Export Reconstructed OHLCV JSON
Export L3 Features CSV
(21 features)
Export Master CSV
(108 combined features)
Note: Data is always written to ClickHouse. These options control file exports only.
Analysis & Validation
Run parity analysis
(requires MBP-10 JSON exports)
Parity analysis requires both Original and Reconstructed MBP-10 JSON exports!
Optional Plots
Generate interactive HTML plot
(best effort)
Generate OHLCV+features PNG
(best effort)
Package
Create download ZIP package
Reset to Defaults
Apply & Close
Fetch & Reconstruct
Chart
Backtest
Status:
Ready
0%
Download Phase
DL MBO:
-
s
DL MBP10:
-
s
DL OHLCV:
-
s
DL Total:
-
s
Reconstruction Phase
File Copy:
-
s
Parse Config:
-
s
Setup Paths:
-
s
Init Books:
-
s
Calc Freq:
-
s
Read Meta:
-
s
Unified Recon:
-
s
Save MBP10:
-
s
Save OHLCV:
-
s
Save Features:
-
s
Save Original:
-
s
Cleanup:
-
s
Recon Total:
-
s
Analysis Phase
Parity Calc:
-
s
Parity Plot:
-
s
Interactive:
-
s
OHLCV Plot:
-
s
Packaging:
-
s
Summary
TOTAL:
-
s
Spent: $
-
Remaining: $
-
Interactive Market Data Visualization
Files ready for download:
Complete Package (ZIP)
Master CSV (108 columns, all building blocks)
L3 Features CSV
Parity Analysis CSV
Parity Plots PNG
Reconstructed MBP-10 JSON
Reconstructed OHLCV JSON
Interactive Plot HTML
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Balance: $
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Streaming Chart -
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Select Feature:
OHLCV (candlestick)
Bid Price (Level 1)
Ask Price (Level 1)
Spread
Mid Price
Bid Volume (5 levels)
Ask Volume (5 levels)
Order Book Imbalance
VWAP Bid
VWAP Ask
Target:
Fwd 1-tick
Fwd 5-tick
Fwd 10-tick
Fwd 20-tick
Mid Price
Lag Sweep 0 to:
Run Lag Sweep
Show All Features IC