This repository was archived by the owner on Jan 12, 2024. It is now read-only.
This repository was archived by the owner on Jan 12, 2024. It is now read-only.
Order book logging and back testing #175
Description
From the documentation or select schema definitive I cannot see that the limit book at different events epochs is saved.
Im assuming data for limit order book comes from IB live as discussed, however it doesn't seem that it's logged to the database.
Can someone provide some more information on this.
I need to log limit order book to file or DB for backtesting later.
Would be good to know if this system handles strategies using LOB data in back testing mode also.
Thanks