Usuage of historic level 1 (tick replay) data to enable at least price movements & correct volume

[eickeee]

For historic backfill data for futures one only has:

• 1h Rithmic 
  
• 1h DXFeed
  
• 24h DXFeed via extra extension fee
  

This has implications on view possibilities for historic market movements but more importantly on volume and indicators like VWAP that are built upon.

While I understand that those limiting times come from the provider which do not offer level 2 market depth data farther, my proposal would be:

• Please make at least use of the level 1 tick data to build up the price movements incl. bubbles as well as correct volume for the past to mitigate those limitations.
  

Cheers, 
eickeee