Suggestion on Live Deployment - Data part

[lli839]

Hi,

Assuming my backtesting strategy works fine (L3 data on ES futures), what's your suggestion on how to modify the code for live deployment?

Specially, in backtesting,

from hftbacktest.data.utils import databento

databento.convert(input_file, symbol, output_filename=f'data/{symbol}_{date}_l3.npz')

Inside the convert(), it takes each ev, then update tmp orderbook snapshot, then correct_local_timestamp(tmp, base_latency).

However, should I maintain such orderbook in live trading?

best,

[nkaz001]

hftbacktest doesn't yet support L3 data in live mode. If your strategy relies on the order book, you will need to build and maintain it yourself. But, if your strategy doesn't require order book data, using L1 BBO in live mode is sufficient.