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Try searching ET for posts by 5pillars lots of info and charts on how he does it. This cropped up here a while ago and I had a couple of other suggestions which escape me now.
If you are going the system route you might want to consider Neoticker. Its Tick Precise and/or Tick replay features will let you test on bid ask and last data streams. |
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Thanks for the help. Looks like there is lots of videos on marketdelta.com and a long post or two at elitetrader. I'll try to get to them this weekend.
Here are some of the links for others who might be interested.
http://www.elitetrader.com/vb/showth...6&pagenumber=1
http://www.marketdelta.com/recordings.aspx
Jeff