import tick data for market replay or backtesting
import tick data for market replay or backtesting
14 Dec 2013, 10:33
We need ability to load custom tick data in csv or other simple format where we can specify the columns of data during the import. Also, the backtest or market replay should have ability to use the real spread based on tick-by-tick or millisecond bid/ask info if available. Otherwise the user has to specify the avg spread or min/max spread manually.
Not sure why metaquotes, Spotware, etc make this so difficult in 2013. You are still writing trading software with 1990 limitations.
Replies
mike.challis
02 Oct 2015, 10:48
Lots of free tick data available going back 10 years or more.
Whay can't cAlgo allow import of external tickdata to backtest and optimise with?
@mike.challis
deansi
03 Dec 2015, 22:59
Still need this feature, the server tick data is now limited to about 3 years back and 2 days from present day. Which is good, but still limiting in some ways. (why the last 2 days data isnt there for ticks I cant explain)
Its also limiting because you cant currently put in custom data to test a cbot against theoretical data, for example to debug a cbot.
But anyway, if you just add the function of tick backtesting from csv file, all this above can be worked around by us that need it.
@deansi
deansi
05 Dec 2015, 20:23
Maybe Ill just hack a way to supply my own tick data... seems faster than waiting for spotware to add the option, which seems so easy to implement from their end, there is already 1min data possible to import, how hard can ticks be to add.?
Anyone looked into hacking the tick data files made by calgo of the *.tdbc file extension?
It looks possible after a brief look into it
g.wizzip
Anywho...
@deansi
hmunz@icloud.com
19 Nov 2017, 21:35
Here is the work arounf until the official fature will be released:
https://ctdn.com/forum/connect-api-support/12149?page=1#2
@hmunz@icloud.com
... Deleted by UFO ...