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thrasher-corp / gocryptotrader

A cryptocurrency trading bot and framework supporting multiple exchanges written in Golang.

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Feature request: Backtesting with trades instead of candlesticks and a simulated orderbook

MeanSquaredError opened this issue · comments

commented

Right now backtesting only supports candlesticks. Are there plans to add support for backtesting with trades data instead of candlesticks? Ideally the backtester would provide some kind of simulated LOB (limit orderbook) to the strategy.

This feature would be useful for those who use GCT to do low-latency trading based on the trades stream and the orders in the orderbook.

I understand that currently GCT does not record the LOB in the database, so just backtesting with the trades would be a useful first step.