Controlled and Automated Quote Data Generator, How?

M

mcgene4xpro

Hi,
I believe testing your ATS against historical data is only giving a hint about the past behavior and not giving a significant indication about the future. No matter how long is your data, no matter how pure is your data, no matter how much optimization has been used before backtesting..

My idea here is to get a quote data generator that could generate quotes according to specific parameters. Does any have any info regarding this piece of software. If this exist ? Any suggestion/info is welcomed.

Thanks

McGene
 
Unless you want to generate much more than 50,000 "random" price points Microsoft Excel is the best (that is unless you are familiar with a mathematical package like S-Plus, R, Matlab etc). In excel you can simulate independednt logarithmic returns, GARCH and other price distributions. The actual random number generator in Excel was not of the best quality the last time I checked. (This means there are identifiable patterns in pseudorandom numbers it produces.) So, plugging in Mersenne twister has potential to make a bit of difference.
 
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