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03-11-2009, 03:59 PM
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Is it possible to do market replay and backtesting based on market depth?
I am using zen-fire as datafeed. In realtime I am able to access market depth info using ninjascript. Is it possible to do backtesting and replay on market depth just as in realtime? If I use IB as data feed, is it possible to get correct snapshot of market depth in realtime?
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