I'm building a fully automated strategy that relies on level1 and level2 data.
I'm using OnMarketData and OnMarketDepth but it streams data only from the moment I enable the strategy.
I would like to be able to access level 1&2 data prior to that, to run my analysis on what happened prior to that.
I have trading hours that I configured, starting from 8:30am until 3:15pm for example. I Enable my strategy at 10am but I need the
data from 8:30am. How do I do that?
In addition to that I would like to be able to know if the data I'm currently receiving is from a playback or is it live data.
Thank in advance
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