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Is it possible to do market replay and backtesting based on market depth?
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Is it possible to do market replay and backtesting based on market depth?
I am using zen-fire as datafeed. In realtime I am able to access market depth info using ninjascript. Is it possible to do backtesting and replay on market depth just as in realtime? If I use IB as data feed, is it possible to get correct snapshot of market depth in realtime?Tags: None
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- Backtesting is on bar data only, any real-time events such as market data and depth is not supported
- Market Replay will replay market depth and you can run a strategy against this
- You will get the market depth data provided by IB so it will be accurate based on what they are sendingRayNinjaTrader Customer Service
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