Consultation

Discussion in 'Hook Up' started by 931, Aug 27, 2020.

  1. 931

    931

    Hi,
    Im looking for consultation related to refining trading/order simulation.
    If you possess useful info and experience, please contact.

    One of the questions is quote data validity.
     
  2. 2rosy

    2rosy

    historical quotes? you can check against multiple sources.
    live quotes? you can check against multiple sources. Similar to subscribing to udp data feeds and making sure that you did not drop anything
     
  3. rb7

    rb7

    Can you precise your question about quote data validity?
     
  4. 931

    931

    Idea is to get more precise backtesting environment using historical data.
    Available options are using NBBO data and trade data.
     
  5. _terminus_

    _terminus_

    The required precision of your backtest is given by how much your live trading reflects it. "Good enough" is probably what you should be looking for.

    You need to consider the whole cycle of: strategy development/backtest/paper trading/live trading and see how much your end results mirror your backtests.

    If they do match, than the quality of your data is good enough.

    I use the data made available by IB, historical for backtests and real time for actual trading. Good enough for me.


     
    ValeryN likes this.
  6. 931

    931

    So far i assume that quotes trigger limit orders and not trade data.
    Hopefully its correct assumption.
     
  7. qlai

    qlai

    No, trades trigger orders. Think about it this way, someone can ask $3000 for a comic book on eBay, but it’s worth that much only after someone actually pays that sum. Until then, it’s only worth what it actually sold for last auction.
     
  8. Dazz

    Dazz

    the bots make over$1300 per day for last 122 days real time forward walk.
     
  9. 931

    931

    Ok , rewrote all to trade data + fabricated spreads.
     
  10. Dazz

    Dazz

    trade data is forward walk; I have been in bot room for 2 months; bots aver ~$400 per index per day, useless you have first hand knowledge that beats me, be quiet.
     
    #10     Sep 27, 2020