Support Board
Date/Time: Mon, 25 Nov 2024 02:02:28 +0000
Replay results using Tick vs 1 Second historical data
View Count: 2478
| [2013-12-24 01:16:33] |
| Bedhog - Posts: 179 |
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Hello All, I'm using the SC RTDS and am working with the Spreadsheet System for Trading. Question: Does the Intraday Data Storage Time Unit play a role in the format of the realtime data stream? If it does not, which of these strategy results will be closer to running in realtime? Replay Settings For Both Scenarios: For All Charts In Chartbook = Checked Skip Empty Periods = Checked Accurate Trading System Back Test Mode Speed: 21520 Processing Step In Seconds = 1 Scenario 1: Closed all chartbooks, deleted the files CLG4.scid AND CLG14.dly, and opened a chartbook that uses CLG4 with an Intraday Data Storage Time Unit = 1 Tick. Opened a chartbook that uses CLG4 and the resulting file size was ~29MB. Ran a strategy from 12/2 - 12/23 and it returned $32.60 Scenario 2: Closed all chartbooks, deleted the files CLG4.scid AND CLG14.dly, and opened a chartbook that uses CLG4 with an Intraday Data Storage Time Unit = 1 Second. Opened the same chartbook that uses CLG4 and the resulting file size was ~8MB. Ran the same strategy from 12/2 - 12/23 and it returned $92.00 The difference between these 2 scenarios is significant. The returns of the scenario that used the 1 Second historical data are desired, but I must defer to you about what is received during realtime based on this setting. I have reviewed this document http://www.sierrachart.com/index.php?l=doc/doc_TickbyTickDataConfiguration.php and am wondering if the results will be different based on the broker (cts, transact, velocity) Thank you. |
| [2013-12-25 05:38:19] |
| vegasfoster - Posts: 444 |
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The intraday storage time unit affects the accuracy of the saved data that you use for historical charting, running replays and backtests. If you are just looking at charts and not performing replays or backtesting then seconds will most likely be fine. If you are running replays or backtesting then you most likely want to set to Tick for the most accuracy. The results will be different for different brokers/data feeds because of lost data and also some brokers are known to filter their data feed to varying extents. Also, fills in simulation are based upon an algorithm to give the best approximation of live fills, but they will not be 100% the same. So you could run a strategy live, then run it in replay for the same period using 100% accurate tick based data and you will most likely get different results. Reason being, stop and market orders will likely fill in both cases, but slippage is unknown. Whereas limit orders will eliminate slippage, but they may or may not fill in either case, depending. The other consideration is that your live orders, even just a single contract, will affect the movement of the markets. When running replay/backtests, your orders have no effect on the market. There is no way to account or quantify this. |
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