Hi,
I have created what i think is a correctly defined .quant file with Level2 data.
Code:
DataFileManager.GetFile(symbol + "1.quant", FileMode.Create);
DataSeries dataSeries = DataFileManager.GetSeries(symbol + "1.quant", symbol);
I record to dataseries eg:
Code:
Level2Snapshot level2 = new Level2Snapshot(datetime, ProviderId.Reuters, instrument.Id, bids, asks);
dataSeries.Add(level2);
and close:
Code:
DataFileManager.Close(symbol + "1.quant");
How do I now access the .quant file and its associated series and stream out events in a strategy:
I have tried:
Code:
strategy = new MyStrategy(framework, "Backtest");
strategy.AddInstrument("****");
Initialize();
DataSeries series = DataFileManager.GetSeries("*****1.quant","****");
DataSimulator.Series.Add(series);
DataSimulator.DateTime1 = new DateTime(2016, 1, 1);
DataSimulator.DateTime2 = new DateTime(2016, 12 , 30);
DataSimulator.SubscribeTrade = true;
DataSimulator.SubscribeLevelII = true;
DataSeriesEventLogger logger = new DataSeriesEventLogger(framework, series);
logger.Enable(EventType.Level2);
logger.Enable(EventType.Level2Snapshot);
logger.Enable(EventType.Trade);
EventManager.Logger = logger;
StartStrategy()
;
However I get no data requests in backtestmode