Possible to Backtest Automated Trading Strategies That Use Level 2 Data in NT8?

[Matheyas5]

Wondering if this can be done via the Simulator, Market Replay, Strategy Analyzer and/or any other tools related to backtesting in NT8.

Looking to do this via whichever method will take every single Tick into account regarding Trade, BBO change and Level2/market Depth change.

thanks!

[NinjaTrader_PatrickH]

Hello Matheyas5,

Thank you for your post.

There is no option to run the strategies over historical level two data.

You can however use Tick Replay to run over OnMarketData(). For more information please visit the following link: http://ninjatrader.com/support/helpG...ick_replay.htm

Please let me know if you have any questions.

[Matheyas5]

Hi Patrick, that link did not mention anything about Level2/Market-Depth data.
What about it did you want me to read exactly?

[NinjaTrader_PatrickH]

Matheyas5,

In any case, the link provides detail on running historical bars with Tick Replay which can access OnMarketData(). While this does not provide Level 2 data, it does provide historical volume, bid, and ask data based off of historical tick data.

[Matheyas5]

Hi Patrick, can my strategies access Level 2/Market Depth data when I run them in NT8's market replay mode?

If so, is there any documentation you can send me that explains how Level2/Market-Depth data works in NT8's replay mode?

Thanks.

[NinjaTrader_PatrickH]

Hello Matheyas5,

If you are connected to the Playback Connection, the Market Depth should work as normal. If you are running Tick Replay on Historical data then the OnMarketDepth() method would not be called.

[Matheyas5]

Hi Patrick,

How can I request you add to NT8 the ability to use Level2/Marketdepth data when using the Strategy Analyzer to backtest/optimize strategies?

Is there some sort of formal request forum I can suggest it in?

I'm sure the backtest/optimization would take a much longer time to process then using level 1 alone, but I don't mind.

Virtually no trading platform (aside from $8k a month ones like deltix.com and flextrade.com) offer this. I think you adding this feature will really make NT8 stand out from the crowd even further.

[NinjaTrader_RileyS]

Hello Matheyas5, thank you for your feedback!

I will submit a feature request for the Strategy Analyzer to use Level 2/Market depth data for back tests and for optimizations.

If you feel that other users would want this feature added to NinjaTrader 8, please feel free to lead them to this forum thread to cast their vote by commenting.

[NinjaTrader_RileyS]

Hello Matheyas5, the feature request ID to this is SFT-1198.