Optimization and DOM

[eoltrading]

Hi ,

I've understood that it is impossible to backtest a strategy on strategy tester using Depth of Market because brokers don't offers enough data to do it (correct me if i'm wrong) , my question is , how can we deal with that problem , to benchtest and optimize a strategy based on order book, 

Thanks

[[Deleted]]

eoltrading:

Hi ,

I've understood that it is impossible to backtest a strategy on strategy tester using Depth of Market because brokers don't offers enough data to do it (correct me if i'm wrong) , my question is , how can we deal with that problem , to benchtest and optimize a strategy based on order book, 

Thanks

You clearly nailed it. It's impossible. 

How else do you want to navigate around the problem? Create your own market depth?

[eoltrading]

Ok thanks,  a bit sad,