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I have been backtesting nearly 10 years of historical data across different asset classes using Ninjatrader market replay data. What I'm about to describe may be controversial, but I have to say it: using order flow as a strategy does not work and provides no real edge. I backtested the following order flow strategies using high-quality data: Footprint Absorption Imbalance Delta Delta divergence Cumulative Volume Delta Volume Profile Iceberg Order block Market depth I can conclude that 90% of these strategies produced no meaningful results. After digging deeper to confirm this, I discovered changes that occurred in 2017 to the real-time streaming trading data distributed by the CME. In 2017, the CME significantly altered order flow data through the introduction of the Market by Order MBO data format, which is now used by most retail traders and trading platforms. This new format changed how trading data is streamed to platforms. It's well documented that these changes obstructed the visibility of traditional order flow data compared to pre-MBO feeds. The current MBO format obscures aggregated orders at price levels and provides only snapshots of executed trades. This masks resting orders, making footprint analysis and similar techniques far more complicated. So why do many traders still try using order flow strategies for day trading if they're largely useless? As I noted earlier, 90% of these strategies produced no meaningful results. The only ones I found with some potential edge are those focused on imbalances between bids and asks. Additionally, analyzing delta and cumulative volume delta can help spot traps and divergences in buying versus selling pressure. Other strategies, like absorption and iceberg orders, are simply not visible in the streaming data.

Hey guy, I'm not sure if any of you in this community have been consistently profitable, honestly I have been struggling to be profitable and mostly just broken even since the beginning of this year. After years of many attempting to stay consistent with any trading strategy and also using most of the indicators that have been edu, shout-out to the edu here. :) I have been determined for many years, to find how I could get my hands on previous years of historical market replay data for Ninjatrader 8, so I can use my free time to educate myself, build a consistent strategy and perform backtesting. I recently came across backtestpods.com, which apparently they provide high-quality historical playback data for Ninjatrader 8 via their cloud servers for backtesting years of market data without interruptions 24/7 using a sort of cloud vps. Has anyone come across them before, do you think it's legit?