Paul wrote: > >> As a reminder, the previously recorded historical data which was based >> on the 5-level deep market should NOT be used any longer. That's >> because the dynamics of the 10-level depth is likely to be different >> from dynamics of the old 5-level depth, so if you backtest and >> optimize on the old data sets, your strategy would be "learning" the >> patterns which may not be there anymore. >> >> I deleted the old 5-level deep sample data set from the project page >> and uploaded a new one, which was recorded based on the 10-level deep >> data: >> > > > If this doesn't work, I suspect that our assumption of collapsing 2N numbers > (from the > bid and ask) to a single number is not well justified ... > What assumption? Collapsing 2N numbers?
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