Any pointers about backtesting high frequency strategies?

Like I said, if that's true, it's an exploitable edge: If "they" only give you full fills on your losers then you know it is going to be a loser as soon as the order is filled! You can exit appropriately. Conversely, if "they" only give you a partial fill you know it will be a winner and you can let it run or add more.
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you can use IB as an example..i don't have records, but i notice this long time ago that if order executed as "smart"(traded from IB's inventory)-expect short quick more in same direction.
:p
mean that they have very sophisticated "system" which probably using the data, not available for regular retail folks
 
Quote from byteme:

So you agree with promagma: at the time of placing your order "they" know whether it's going to be a winner or a loser. "They" know whether your trade is to open a position or to close a position. "They" know how long your are planning to hold the position for. "They" are monitoring the positions of all of the people trading at any given time.

Like I said, if that's true, it's an exploitable edge: If "they" only give you full fills on your losers then you know it is going to be a loser as soon as the order is filled! You can exit appropriately. Conversely, if "they" only give you a partial fill you know it will be a winner and you can let it run or add more.
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Look, this only happens when you catch the exact bottom, to the penny, which happens a lot with a profit target of 0.05 or 0.10. There is not unlimited liquidity at every price level. If no one else wants to trade with you at your price, there is nothing to exploit.
 
I noticed the same problem with short trades.

The best shorts are not on the easy to borrow list.

That would be ok if I could find a good historical source of easy to borrow lists, but my broker doesnt want to give me that. So, there is no way to back test it.

It got worse after the crack down on naked shorts. It used to be that the threshold list published by the markets was a good proxy. If a symbol was on the threshold list, it was unshortable by anyone and if not, you could short it. The threshold lists are published and go was back.

But after the crackdown, the threshold list became much less meaningful. There are new only a handful of symbols on the threshold list but very few that the broker will let you short.

I think that it is no surprise that the best opportunities are untradable. Thats why the opportunity is still there!

Same problem with getting fills on limit orders. In the fragmented market, you cant count on getting filled on every share traded.
 
I think that it is no surprise that the best opportunities are untradable. Thats why the opportunity is still there!
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more accurately would be-they untradable for you and me.
 
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