@Trunky
Reply with quote not working for some reason. Which financial product are you backtesting, out of interest, as if you are backtesting my trading methodology, which I think was the reason for your intial posts, on a market maker platform, you are backtesting the wrong financial product. The results therefore, will be different. Also, there is an algorithmic thread that might be better for you.
Monday October 7 - The Far side, page-27
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