Support Board

Date/Time: Thu, 19 Sep 2024 21:50:41 +0000

Post From: Replay results using Tick vs 1 Second historical data

[2013-12-25 05:38:19] Link To Thread - Link To Post [Go To First Post]
vegasfoster - Posts: 444
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.