Consultation

9

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.
 
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
 
931 said:
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.
More...
Can you precise your question about quote data validity?
 
Idea is to get more precise backtesting environment using historical data.
Available options are using NBBO data and trade data.
 
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.


931 said:
Idea is to get more precise backtesting environment using historical data.
Available options are using NBBO data and trade data.
More...
 
931 said:
So far i assume that quotes trigger limit orders and not trade data.
Hopefully its correct assumption.
More...
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.
 
931 said:
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.
More...
the bots make over$1300 per day for last 122 days real time forward walk.
 
qlai said:
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.
More...
Ok , rewrote all to trade data + fabricated spreads.
 
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.
 
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