- "The impact of the difference can vary depending on the characteristics of the strategy; for some strategies, Level-2 estimation may be sufficiently accurate, while for others, it may not be. This comparison is intended to highlight these differences. In markets that only provide Level-2 data, it is important to develop a realistic queue position model based on live trading data. Although Level-3 data offers direct order queue position information, it is still crucial to validate backtesting results against live trading results. For example, in this CME Level-3 backtest, the fill simulation does not account for order fills by implied orders."
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