This whitepaper focuses on organizations that understand packet capture (PCAP) and the operational realities of recording raw exchange feeds. It also addresses a related set of challenges faced by firms that primarily buy normalized historical data and are considering a shift to raw PCAP to improve fidelity, auditability, and control. We outline the tradeoffs, implementation considerations, and the benefits of replacing self-collected history with Pico-collected, PCAP-formatted datasets.