MBO IB/SR data feed logging for backtesting (and potentially real-time usage)

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Nighthawk99
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Joined: Thu Apr 29, 2021 7:05 pm
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MBO IB/SR data feed logging for backtesting (and potentially real-time usage)

Post by Nighthawk99 » Thu Apr 29, 2021 7:33 pm

I’m increasingly using the MBO IB/SR indicator as a key indicator to my trading decisions. For wider application into my several strategies I needed to run backtests to confirm my overly positiv (but objective) bias. Often we see what we want to see.

Hence my request is for a simple logging of the iceberg and stop run values (the values that I can see a lines in the sub pane based on my configuration) per subscribed product for which I'm using the MBO iceberg/SR tracker. This could be something very simple like a csv or json file holding an 1 min timeseries per day per product. Ideally this was produced in real-time so I could even parse the data for my automatic trading strategies.

It's obvious that those logged values would be some kind of averages on the 1min frequency as Bookmap itself is working in realtime without time frequency framing.

Thanks for looking into this.

For questions or clarification requests please revert back.