The main thing you offer is order book replay, am I understanding that correctly? I have been interested in something similar, but I am not sure how to justify the extra data actually.
Could you give a scenario where order book data at this granularity might come in handy, as opposed to say a single measure of liquidity (however that would be defined)? Thanks
Yes, you are correct, but it's not only order book but also trades, liquidations etc- full market data replay. If you trade on higher time frame, it's not that useful, you can use daily OHLC data,but for intraday and more HFT algo strategies it may be handy. General common knowledge is that order book is noise and fake data mostly but I disagree - check out https://www.reddit.com/r/highfreqtrading/comments/av5c4m/mar... for some ideas why such data is useful.
Could you give a scenario where order book data at this granularity might come in handy, as opposed to say a single measure of liquidity (however that would be defined)? Thanks