Backtesting Level-2/Market-Depth based trading algos possible?

Backtesting Level-2/Market-Depth based trading algos possible?

M808
2015-12-15 20:46:44

Is it possible to use Quantshare to backtest Level-2/Market-Depth based trading algos?
I find most trading platforms don't support this, hopefully Quantshare does:)

Also, same question re live trading such algos via Quantshare.

Thanks!

QuantShare
2015-12-16 03:55:20

There are no built-in functions to read and store level 2 data but you can create scripts to store your own level 2 data in a custom database, create functions based on that perform a backtest. Please note that some C# programming knowledge would be required to achieve that.

M808
2015-12-16 08:05:34

Would I have to do that for realtime live trading (with interactive brokers)? Or just when backtesting?

QuantShare
2015-12-17 01:30:35

Live trading based on interactive brokers is currently not possible, but this is something we can add.

M808
2015-12-17 04:08:21

Is it currently possible to use Quantshare to livetrade with any brokers?

QuantShare
2015-12-18 02:13:14

I meant live trading with Interactive brokers is not possible using Level 2 data.
We only support IB and MBTrading for now.

M808
2015-12-18 21:31:09

Cool.

I highly suggest adding the ability to backtest level 2 data. Virtually no trading platforms I've found allow this. Adding this feature would really make Quantshare stand out from the crowd.

I'm guessing live trading with Level 2 with MB trading isn't possible either? Would be great if you added the ability to livetrade level 2 with Interactive Brokers, Mbtrading and any other brokers you connect to in the future.

QuantShare
2015-12-19 02:21:28

Yes live trading level 2 data is currently not possible but this is something we will implement soon.

M808
2016-04-06 13:23:47

Hi Quantshare, just checking in to see if you've added to ability to backtest level 2 data (without me having to create the custom database you mentioned in post 2 of this thread). Thanks.

QuantShare
2016-04-07 03:31:09

Not yet. It will probably take several months before we implement this.

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