Support Board

Date/Time: Sun, 05 May 2024 23:37:53 +0000

Post From: Time&Sales strategy exemples

[2014-11-11 20:42:00] Link To Thread - Link To Post [Go To First Post]
jesslinn - Posts: 108
So, what is the way to backtest a T&S strategy? One way would be record all the time and sales to a file and then intercept the call to GetTimeAndSales and load historic T&S from a file instead. This seems like a lot of overhead and duplication since SC is already saving the trades. Can SC engineering propose a better way to backtest or replay with bid, ask, and trade data? Why isn't there an option to record the bid and ask data in the scid file or similar?