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Direct MessagesDate/Time: Mon, 16 Sep 2024 19:19:39 +0000
Post From: Replay tick data changes week to week
| [2024-06-03 17:43:05] |
| User414533 - Posts: 106 |
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I've been monitoring this "issue" for a while in hopes that I could post a clear support request. At the end of the week, I run market replays on the - just completed - week's market data. When I run the exact same replays the following week, my algos sometimes take a trade they didn't the prior week, or won't take a trade they took the prior week. I am certain this isn't my algos because I'm running the replays with many algos and the exact same disappearing/appearing trade is occurring across dozens of repetitive backtests. A buddy of mine who's familiar with the data business said perhaps the data is getting "cleaned" and the replays I'm running the following week are with the cleaned data, negating some trades that were previously taken, or causing new trades to show up. I keep very good records of backtest results so when I run the EXACT same test a week later and a new trade shows up or disappears, it is glaringly obvious. I'm also a bit worried as to which is the "right" data. Once these changes to the data occurs, they don't occur again. Is the "2nd version" the correct one? Also, do you have any explanation as to what is happening? Here are a few dates I've recorded where changes in the data occurred from one week to the next: 3/20 - trade disappeared on following week's backtest 3/22 - trade disappeared on following week's backtest 3/25 - trade disappeared on following week's backtest 3/28 - new trade appeared on following week's backtest 4/02 - new trade appeared on following week's backtest 4/11 - trade disappeared on following week's backtest 4/12 - new trade appeared on following week's backtest 4/16 - trade disappeared on following week's backtest 4/26 - trade disappeared on following week's backtest Thanks! |