Backtesting DOM/Orderbook/Flow strategies

Questions about MultiCharts and user contributed studies.
tpredictor
Posts: 108
Joined: 05 Mar 2014
Has thanked: 1 time
Been thanked: 12 times

Backtesting DOM/Orderbook/Flow strategies

Postby tpredictor » 24 Apr 2021

I like to tape read/discretionary scalp but have found it difficult to backtest such strategies that use the order book. Has anyone here found solution that works? Is there any data provider that can provide order book changes and can Multicharts process them? I know that some order book strategies require ultra-level low latency but I'm just interested in the stuff that I can read off the DOM with my eyes even though granted sometimes it will be wrong by time order is executed.

My understanding is that there orderbook levels are:

Tick trade with order book size at trade
Order book volume changes irrespective of trades
Level 3 order book data with # of resting orders and size

User avatar
Svetlana MultiCharts
Posts: 645
Joined: 19 Oct 2017
Has thanked: 3 times
Been thanked: 163 times

Re: Backtesting DOM/Orderbook/Flow strategies

Postby Svetlana MultiCharts » 08 Jun 2021

Hi tpredictor,

It is possible to backtest on DOM data in MultiCharts if you have a file with historical DOM data and imported it in the database.


Return to “MultiCharts”