I'm new to automated trading. I'm in the process of coding the methodology I've been using manually for a few weeks into a quantitative algorithm using IBKR and Python.
I read everywhere I should backtest my strategy before betting money it. Sounds like a great idea, of course.
Just a slight problem. My alogo depends on Level 2 market data to make the best guess on when to enter a position.
With IBKR, I can get historical tick-by-tick data, but no historical level 2.
Has anyone encountered a similar challenge? Should I build my own database of L2 data? Or should I just run my algo live with paper trading, make adjustments if necessary, and then go live?
Should I look for historical L2 data (I need CME/Globex equity index futures) elsewhere? Seems like the data is out there, but it's expensive.
Has anyone gone through a similar decision process? What recommendation do you guys have?