Date: 2026-08-02. Context: an intraday futures strategy pipeline (CME micro contracts, 1m bars) needed more than the ~1 week of history its live feed retains, to enable out-of-sample backtesting. These are the measured findings and the sourcing decision.
- The tastytrade/dxFeed dxLink candle service is capped at ~8000 events per snapshot subscription, and windowed re-requests do not reach past it. Effective free depth: about one week of 1m bars per symbol, regardless of how far back you ask.
- Cross-instrument concatenation ("stitch 8 roots into one long series") is tempting and wrong: it manufactures bar count, not information. Ratio-adjusted stitching is only legitimate within one root across contract rolls.
- For real depth, Databento's GLBX.MDP3 (official CME distributor) is the standout: 16+ years, all four CME exchanges, OHLCV-1m is the cheap schema, and the $125 new-account credit likely covers a multi-root multi-year pur