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[User Discussion] - .depth (Historical Market Depth Data) for research on the Replay

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[2020-01-28 15:29:52] #1 [Go To First Post]
AndreyPoroshin - Posts: 102
Hello, a question regarding historical market depth data. We all know that the platform has a tool for testing ideas on historical data. ReplayChart. It's great! We all carefully read the documentation and in particular, over the past 4-5 months, I have been testing my ideas in ReplayChart, which are easy and more complicated. Everything is good in principle, with a proper understanding of the operation algorithm, everything can be relatively correctly tested, for example, 1 minute timeframe for the last 2 years, on the Accurate Test (CPU use) setting. Speed 240. Fairly tolerable speed, but high speed gives more errors, so 240 is also good. But as soon as it comes to calculations, such as examining the DOM using .dept files written to the computer. testing shows completely incorrect results. Wrong because the validation was compared with the days from the past recorded in real time. For example: I use an idea enclosed in spreadsheets or source code, and I start auto trading at the beginning of the day, for example at 00:00 and close auto trading at 16:00. The next day I try to go the same day using Replay Chart at various settings and speeds that are reasonably thought out and configured, according to the platform’s manual. Of the five or six tests, not one shows the real results that I managed to get in real time on that first day, on which I did tests in the future. Speed tried different and even 1x This problem, in particular, is more concerned with researching the DOM and using .dept files. Does this mean that the .dept files are somehow special, not suitable for historical research? What is wrong with them? Are they not text? Is it possible to convert these files into accessible formats for independent testing and research, for example, by simply importing into Excel? Very many people want to do DOM research, judging by reports in the community, many have long had a need to study .dept historical data. in 10 price levels. Not those that are steeply recorded in our computers, namely, quality continuous over a long period, recorded on servers. At least 2-3 years, it would be great! Are you planning to provide a historical .dept service or maybe there are already some options?

[2020-01-28 18:22:27] #2 [Go To First Post]
Ackin - Posts: 1865
provide a historical .dept service or maybe there are already some options? + 1

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