Backtesting with vol and tick data

Discussion in 'Strategy Building' started by TexasTeaTrader, Jul 16, 2014.

  1. Are there any commercial platforms or software that have the ability to backtest actual market data, by that I mean not OHLC data but actual tick and volume data at least 2 years back?
     
  2. tobbe

    tobbe

    Any of the major charting platforms can do that. I am assuming that you mean what you write and that you're not thinking of DOM data.
     
  3. Im looking for the backtester to execute a trade intrabar, not on the open or close of the next bar.
    I looked at all the popular platforms and there backtesters work only on OHLC. Level 1 data would be fine, looking for something like market replay in ninja but with the ability to test at least 2 years of data.
     
  4. ST.M

    ST.M

    That claim referring to "all" is definitely wrong.
     
  5. Ok, which one can test level 1 or 2 data, and execute intrabar?
     
  6. ST.M

    ST.M

    Search yourself. I don't sell software. I just said that your claim is wrong.
     
  7. tobbe

    tobbe

    Wrong.

    You sell strategies and are not aware of the pros and cons of the major platforms out there? Sorry for responding at all. I forgot to check your posting history before making my first reply.
     
  8. NinjaTrader does what you're describing.
     
  9. Market replay does, currently what I use for forward testing, but its hard to test longer then a couple weeks with replay.

    Ninjatraders backtester is ohlc
     
  10. You can test a lot longer than a few weeks with replay if you have the right data. And the data format is pretty obvious, so pretty much any data can be made into the right data with a little effort.

    No test environment does long tick-driven tests with variable parameters etc - it would take years.
     
    #10     Jul 16, 2014