I have developed an automated strategy based on marketdepth : I calculate
bid/offer running volumes and then I generate buy/sell signals, stops, targets etc.
The strategy work fine with real time data.
When I try to test the strategy in the past using the market replay logic I am able
to generate the signals only if the speed of market replay is 1 but if I increase
the velocity my strategy does not generate signals anymore.
Any idea?
Thanks
GB
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