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Date/Time: Sat, 18 May 2024 08:44:32 +0000

Post From: Backtesting Level 2 based strategies possible?

[2019-12-27 20:07:48] Link To Thread - Link To Post [Go To First Post]
Chad - Posts: 231
Hi SCE, A few questions about this topic: 1) pursuant to recording DOM data for later replay, does the Market Depth Historical Graph study achieve the same thing as enabling Global Settings>>Symbol Settings>>Record Market Depth Data per-symbol? In the case of the study, I can see that .DEPTH files are stored in \Data\MarketDepthData, but if the Settings menu option is necessary, I'll make sure to use it hereafter. 2) what's your off-the-cuff take on the easiest way to get this depth data accessible via Python for some exploratory modeling? There's a few relatively-advanced statistical models that I want to try and wouldn't be possible with a Spreadsheet formula. But then again, I could try some implementations of these models in Excel, so long as the DOM data would stream appropriately.