|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|
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.
|Author:||Dr. Anton Fokin [ Fri Sep 18, 2015 9:00 am ]|
|Post subject:||Re: Backtesting Level II Based Strategies|
yes, you have OnLevel2Update and OnLevel2Snapshot in the Strategy, as well as DataManager.OrderBook, which is built up from Level2 snapshots or/and updates.
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