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Backtesting Level II Based Strategies
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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!

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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