Reconstructing and replaying the historical state of an order book — not just trade prices, but the full depth of resting orders — so a strategy is tested against realistic liquidity at every price level, not just the last traded price.
Reconstructing and replaying the historical state of an order book — not just trade prices, but the full depth of resting orders — so a strategy is tested against realistic liquidity at every price level, not just the last traded price.