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PostPosted: Thu Sep 17, 2015 11:10 pm 
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Joined: Thu Sep 17, 2015 5:52 am
Posts: 133
Hi Smartquant,

In Openquant is it possible to backtest trading strategies that use Level II data?
I ask because I have found this kind of backtesting to be problematic with a bunch of other trading platforms.

Thanks!


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PostPosted: Fri Sep 18, 2015 9:00 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6808
Hi,

yes, you have OnLevel2Update and OnLevel2Snapshot in the Strategy, as well as DataManager.OrderBook, which is built up from Level2 snapshots or/and updates.

Regards,
Anton


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