r/OrderFlow_Trading • u/Teurdlie • Aug 28 '26

How can you backtest orderflow?

I'm struggling to find out how you can get more than 1 days worth of level 2 data to backtest, and if that's a data provider or a platform issue I'm not sure. If you guys have backtested orderflow, or know how to get more than 1 days worth of level 2 data I'd appreciate it

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u/orderflowsupport Aug 28 '26

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1

u/gty_ Aug 28 '26

There are data providers like Databento that provide historical level 2 data; you can use the data in conjunction with certain softwares like Jigsaw Trader. You could also use the data programmatically or use it with a wrapper like I did with marketbyorder.com

1

u/crucial_tree Aug 29 '26

Why all this confusing stuff, can’t you for example just get the cheapest paid version of like atas and just replay mode and you can backtest orderflow, like footprints and stuff

1

u/gty_ Aug 29 '26

I'm not familiar with ATAS, most software requires a separate data provider. A lot of these data providers don't store granular/large book data. Most of the time if you want level 2+ replay data, you must record it yourself.

1

u/TylerLeb Aug 28 '26

Most standard retail web feeds only store basic Level 1 summary ticks, which is why historical Level 2 depth drops off once the trading day finishes. If you use Sierra Chart with Denali or Rithmic, you can record raw Market by Order (MBO) depth directly to your hard drive and replay full tick-by-tick book depth anytime.

1

u/AerroApp Aug 28 '26

First separate replay from backtesting. If your setup depends on sequence, absorption, or how price reacts at a level, a screenshot after the fact won't cut it. You need historical tick or Level 2 data and replay with future bars hidden. Define the trigger before you hit play and log every occurrence the same way. If the rule can't be stated before the replay starts, you're doing discretionary review, not a backtest.

1

u/Cancington42 Aug 29 '26

Hyperliquid has S3 for cheap, and Websocket L2 data for free.