I want a more realistic backtesting engine eg : market is 1350 / 1351 say 50 lots x 50 lots.... I join the bid at 1350 for 10 lots .... then somebody joins for another 50 lots.... (ie a total 100 lots in the live market but 110 in the simulated market). I want it so that if 10 trade through the bid .... nothing done... but if 60 trade through the bid then im filled ... Conversely if 50 pull after the second 50 go onto the bid. We are conservative and take that order off the back of the queue rather than the front and still need 60 to trade before we are filled.. equally 100 pull then later 50 lots join. They are behind us now and we get filled first I have been using Multicharts and the problem with that is they only have 2 options.... it trades through the limit order.... and im filled ( trade through = next price below) or the other option is it trades at our price im filled. In the models i have built neither are realistic.
out of any of the opensource products out there JBookTrader seems to be the only one that seems to want to collect full book data .... and I can only assume this is to build a backtesting engine as per above Can anybody confirm whether JBT can do the above backtest style ? Thanks -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
