I want to build a strategy (or more likely pay someone to build a strategy) that will run on a chart and use historical bid price data on a futures contract from a certain time in the past to make a trading decision at a later time. So for example, I want the strategy to make a trade decision at 8 AM each morning based on the bid price from 5 PM the prior day. The issue here is I don't want the price from a trade that occurred at 5 PM, I want the bid price that was available at 5 PM the prior day even if there was no trade executed at that time. The strategy will trade in a SIM account of course since I'm not connected to a brokerage account.
Does anyone know if that is feasible? The contract I am looking at now is CL 05-21. This Crude Oil futures contract expiring May 2021 doesn't trade too frequently, but when I view it on the Dynamic SuperDOM I see a nearly constant flow of numbers flashing up in the Buy and Sell column at different price points which I assume are bids and offers at those price points, with the numbers being the number of contracts bid or offered. I only have Level I data so I can't see the whole stack of bids and offers, just the best on each side I guess.
Any help appreciated.
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