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Merry Christmas everyone!
is there any way to get Depth of Market using BookEvent handling to get data for backtesting?
I am not sure, but I doubt that the brokers do Keep / provide history data of the order book such as e.g. EURUSD history data.
The only way I can think if is to receive the DoM Data via the BookEvent handler and write it to CSV for a while and use this data than for backtesting by reading the data back in again.
Any other ideas on that?