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Hi all,
I am new to QuantConnect and still in the stage of understanding how QuantConnect works.
I am particularly interested in backtesting algo trading strategies with the use of limit order book information, e.g. market making strategy. Assume I have obtained historical limit order book data with bid/ask/trade ticks, how may I backtest with QuantConnect? Thanks very much!
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Michael Handschuh
Wayneuts
Wayneuts
Michael Handschuh
public override void OnOrderEvent(OrderEvent orderEvent) { var order = Transactions.GetOrderById(orderEvent.OrderId); Console.WriteLine("{0} >> ORDER >> " + order, Time); }Here's a link to the OrderEvent class.Wayneuts
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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