Has anyone created a forked GomRecorder build that also records all L2 depth changes in a way that can be backtested?
I understand the time precision is a big problem here but am hopeful that if we record real-time data and save it outside of NT we can get accurate precision.
The backtesting part is important for my application, so I need a way to be able to retrieve the L2 depth and see the changes from a backtest. I can use Gom functions (outside of NT backtesting engine) I am hoping.