L2 Data Customization for Backtesting (vs Replay) ?
I've developed a strategy using L2 Data, and it tests well in market replay (1 minute). I would really like to test this over a wider timeframe than 2 weeks, but it takes me a lot of time to run a 2-week test even at 500X, and the fast you go the less accurate your strategy logic seems to be.
I know that by default, I can't load L2 to the strategy analyzer, but I am able to load additional data series (I can buy on other instruments, I just can only display 1). Is there any way for me to load L2 data to the strategy for custom filtering and manipulation which would work in the strategy analyzer? As I understand it, the limitation is the data size, but if I could reduce that it would help me test a realistic timeframe.
I know that by default, I can't load L2 to the strategy analyzer, but I am able to load additional data series (I can buy on other instruments, I just can only display 1). Is there any way for me to load L2 data to the strategy for custom filtering and manipulation which would work in the strategy analyzer? As I understand it, the limitation is the data size, but if I could reduce that it would help me test a realistic timeframe.
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