Comment on Pi bridge - gateway to trade using other programs
commented on
23 Dec 2015, 07:31 PM
Thank you Nithin for prompt response. Pi provides a great platform for backtesting and analysis and I’ve tinkered with quite a few Public EAs available.
But my query is specific to using Level 2 data for backtesting within the Pi. I tried searching, but coulnd’t figure out if I can use Level 2 quotes information (e.g. Using difference between Total Buy Quantity (TBQ) and Total Sell Quantity(TSQ) as an input or calculating rate of change in market depth on bid side using best five bid quotes). My question: is the Level 2 data accessible to perform such tasks within Pi?
Many Thanks!