The absolute nightmare of "premium" historical data
u/Keithwee ·
Reddit — r/algotrading
· June 03, 2026 at 20:44
· ⬆ 15 pts
· 💬 26 comments
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AI Summary
Summary
The author is venting frustration over poor-quality historical futures tick data from an expensive vendor, requiring extensive cleaning before any strategy testing.
Their underlying thesis is a mean reversion strategy, but they are stuck on data infrastructure rather than strategy validation.
This post is noise (personal burnout anecdote) with no rigorous research or actionable analysis.
Score15
Comments26
Upvote %86%
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honestly at my breaking point with these tick data providers. just dropped almost $300 on a supposedly "clean" dataset for futures and the amount of missing timestamps and duplicate rows is actually insane
Im spending like 80% of my time writing pandas scripts just to sanitize the garbage they sold me instead of actually testing my mean reversion logic. it gets so frustrating that sometimes I just step away from my IDE and mess around on a trading game just to manually watch price action and see if my thesis even makes intuitive sense before I go back to debugging python for another three hours
like how are we paying institutional prices for data that looks like it was scraped by a broken bot? anyone else dealing with this or did I just pick the worst vendor possible. Tbh just feeling incredibly burnt out on the infrastructure side of things today