Bid / ask for CMD with market depth


I wonder if it's possible to get bid ask price with market depth. I mean I would like to get n offers above and below current price together with their price and volumne.

Assume that current price is 70.00, I would like to get all offers below and above, like 69.99 - vol 3, 69.98 - vol 10, and 70.10 vol 5, etc

Update Backtest

QuantConnect does not provide order book data for equities (CMD). Futures, options and forex are supported, however the bid and ask prices are top of the book, or the best bid and ask price available. The data from equities is implemented through the TradeBar class while the other assets mentioned are implemented through the QuoteBar class. The link below contains information on TradeBar data and QuoteBar data for reference:

Update Backtest


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