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Open Feature request MC-595

Improve collecting data

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6
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Description

Data requirements are becoming increasingly broad (in terms of cross-market and cross-asset class) and deep (in terms of the granularity, i.e. full depth-of-book on a tick by tick basis),
so to test we need also to have a full depth-of-book on a tick by tick basis to test our strategy.
Quotemanager should collect all levels of DOM and not only the tick trade.

Steps to reproduce this issue

Full depth-of-book on a tick by tick basis.
Quotemanager should collect all levels of DOM and not only the tick trade.

Comments (1)
#1
user-offline.png  MMarkus (mayatrader)
Aug 07, 2017 - 11:00

Indeed very critical feature - especially, since Ninja Trader offers such a feature. Historical L2 data is very expensive and this would be an awesome way to get some of the data. This would also allow to backtest new strategies.

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Stability
  • Targeted for
    Not determined
  • Status
    Under Review
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
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Issue details
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  • Severity
    Critical
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