Backtesting DOM-Based Strategies NT8

[jcls123]

Hello,

I have read in other threads that it has been requested back in 2015 to include the ability to use Market Depth Data for Backtesting. I was wondering if this feature has been implemented, as I am working on DOM-Based Strategies that would be impossible to Backtest thoroughly manually.

Thanks

[NinjaTrader_ChelseaB]

Hello jcls123,

That I am aware of, no, Level II (Market Depth) data cannot be used for backtesting.
However, you can use the Playback connection, to run a strategy in real-time while playing back a recorded day of Market Replay data which will contain level II data if downloaded.

NinjaTrader only stores Level I data with historical data, and also market depth historical data is not available from any of the data providers or brokerages that are supported by NinjaTrader.

Below I am providing a link to a video on Market Replay for NinjaTrader 7.

https://www.youtube.com/watch?v=cgB1y3df7l0&list=PL4D56536A44DD7105&index=19

As well as a link to the NinjaTrader 8 help guide on the Playback connection.

http://ninjatrader.com/support/helpGuides/nt8/en-us/playback_connection.htm