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[Locked] - Backtesting Level 2 based strategies possible?

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[2015-10-26 20:21:42] #1 [Go To First Post]
User760942 - Posts: 120
Hi SC, Is it possible to use your platform to backtest trading algorithms that use Level 2 data? Is the answer the same regardless of if I build the algos via “ACSIL” or “Spreadsheet System for Trading”? I ask because I’ve found many other platforms are unable to use level 2 data in backtesting. Thanks! Date Time Of Last Edit: 2015-10-26 20:22:36

[2015-10-26 21:57:44] #2 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
No, this is not supported. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2015-12-25 09:16:21] #3 [Go To First Post]
User760942 - Posts: 120
Please add this. Here is why: -The only thing that seems to separate SC from $10k a month platforms like Deltix, Flextrade and so on are tiny details like this. -It really does not seem that hard engineering wise to add such a feature. -Everyone should be able to backtest level 2 strategies in their execution platforms (not just people who can afford $10k a month). I've done a lot of research of very expensive platforms and the extra features they offer are not that complicated and should be part of SC and every other platforms average people can afford. Message me privately if you'd like more info. Or ask me to post here publicly.

[2015-12-25 18:17:53] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
It is interesting that you ask about this because in the last month we have decided to add support for maintaining market depth data on the client-side. It is not likely we would maintain this on the server side due to the heavy burden it would put on our servers and the detriment that would cause. Although potentially we could maintain the depth data just for the last 15 days or so. However, server-side storage of market depth data is not under consideration at the moment. We expect this capability will be available sometime in the next 3-4 months. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2015-12-25 22:26:46] #5 [Go To First Post]
User760942 - Posts: 120
Cool. Does "maintaining market depth data on the client-side" mean I'll be able to backtest Market Depth based strategies in SC? (Also, just to be clear. I have my own .CSV files of Market Depth data. I just want to be able to import my Market Depth .CSVs into SC and use them when backtesting)

[2015-12-25 22:44:15] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Back testing using market depth data will be supported. Importing of market depth data will definitely not be supported. We do not have the time to get involved in that. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing

[2017-08-25 18:58:16] #7 [Go To First Post]
User875058 - Posts: 3
Hi, >> We expect this capability will be available sometime in the next 3-4 months Was this feature added? Does it need to be enabled? Thanks

[2017-08-25 19:27:44] #8 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Yes, this is fully supported. Here are the instructions: Replaying Charts: Replaying of Market Depth Data Did you want to back test using a Spreadsheet Trading study or ACSIL? Also, the frequency of updates of the market depth data when performing a back test will be improved upon in the next release coming out in a couple of days. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2017-08-25 19:28:20

[2019-12-27 20:07:48] #9 [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.

[2020-01-03 19:03:45] #10 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
1) Having the Market Depth Historical Graph on the chart does force the saving of the Market Depth Data in the same way as setting the option in the Symbol Settings. But, it is recommended that you set the option in the Symbol Settings for Record Market Depth Data, as this will make the system always save the data, regardless of whether the Market Depth Historical Graph is on the chart or not. 2) Refer to: ACSIL Programming Concepts: Programmatically Accessing Historical and Current Market Depth Data Market Depth Data File Format This thread is now locked. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, change to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2020-01-03 19:04:21

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