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| Backtesting Level II Based Strategies http://www.smartquant.com/forums/viewtopic.php?f=60&t=11000 |
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| Author: | M101 [ Thu Sep 17, 2015 11:10 pm ] |
| Post subject: | Backtesting Level II Based Strategies |
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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| Author: | Dr. Anton Fokin [ Fri Sep 18, 2015 9:00 am ] |
| Post subject: | Re: Backtesting Level II Based Strategies |
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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