Historical Depth of Market Data (for backtesting)

[algotrader01]

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?

[Roberto Spadim]

no

you can save the current DOM (search an indicator that i created - heatmap bookmap) and load it latter, but you don't have historical dom at mt5