Allow testing of custom tick data

Created at 01 Sep 2014, 23:41
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pennyfx

Joined 27.09.2012

Allow testing of custom tick data
01 Sep 2014, 23:41


You could enable us to select a file like the 1m backtest data, but that isn't scaleable.  A better feature would be if you can provide us with a lower level hook into the historical data feed.    

I dream of something like this:

interface CustomDataSource {
   IEnumerable<cAlgoTick> FetchTickData()
}

// Then on our robot, we can implement this interface to pull in any custom data we need.

public class MyRobot : Robot, CustomDataSource {

  public override void OnTick(){
   // Custom tick data comes in through here and the rest of the platform works as usual
  }

  public IEnumerable<cAlgoTick> FetchTickData(){

    // load from tick data files, stream from socket, pull from redis, whatever..

     yield return new cAlgoTick();

  }
}

http://msdn.microsoft.com/en-us/library/9k7k7cf0.aspx

A system like this would be very flexible.  You could even allow us to provide databars (MarketSeries) in a similar fashion.  

 


@pennyfx
Replies

Spotware
02 Sep 2014, 09:50

Thank you for your idea. We will consider it. Currently we plan to provide an ability to load tick data from a CSV file.


@Spotware

.ics
26 Sep 2016, 13:48

Hi soptware,

Is there any update on this?

Thanks in advance.


@.ics