backtesting and DOM?

[bluelou]

I'm trying to figure out exactly what I can and can't do with backtesting and limit order book (LOB) data in NinjaTrader (NT) and it's not entirely clear to me from the docs.

Here's what I'd like to do:
1) I want to study futures instruments (and test a strategy) where limit orders are conditionally aggressive (cross the spread) instead of passive.
2) The LOB condition I want to test requires separate analyses top of book and n levels beyond the top of book. So, I need to access historical order book data separately for the 1st level and the n-1 levels.

My questions are:
i] Can I do this?
ii] If so, can this only be done with Market Replay? Is there any way to load historical DOM data into NT?
iii] What methods/event handlers give me the ability to access and manipulate the data?

[NinjaTrader_Matthew]

Hello,

The only way to backtest book data is on a market replay connection. You would not be able to test your strategy on historical data using these methods.

You can use the OnMarketDepth event handler to access these additional levels of market data:

http://www.ninjatrader.com/support/helpGuides/nt7/onmarketdepth.htm

Please let me know if you have any questions.