Support Board
Date/Time: Mon, 25 Nov 2024 01:33:31 +0000
Post From: Replay results using Tick vs 1 Second historical data
| [2013-12-24 01:16:33] |
| Bedhog - Posts: 179 |
|
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. |