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Direct MessagesDate/Time: Mon, 16 Sep 2024 19:15:35 +0000
Post From: Replay tick data changes week to week
| [2024-06-05 21:49:15] |
| User414533 - Posts: 106 |
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The data will not change from week to week. Unless you have re-downloaded the data, and for some unknown reason there is a change with the data but that is not going to happen in the case of futures data or stock data.
I am not "delete and redownloading" the data. I am running market replays on multiple strategies at the close of the trading week. Let's say I go back 6 months or so, then the next end of week (5PM Fri), I do the same thing, 6 months back. A few trades that would trigger the prior week do not now. And a few trades that didn't trigger in the prior week, do now. The important point to note, is that once a trade result has changed from the prior week, it does not change again. It appears very much to be a tick data "correction" of some kind that is likely occurring over the weekend with the market closed, for the prior week. Unfortunately, I can't wait until the end of the weekend to start my analysis because of scheduling constraints. All variables that could cause this have been accounted for on my end (famous last words I know). Same algo code run each week, many consecutive market replays showing exact same results ON THE SAME WEEK. But when the process is duplicated exactly the following week, there's always a trade or two that doesn't match. And this specific trade or two is confirmed through many repeated replay runs. I've noticed some of the time stamps have been around market close (15:59:xx etc). Anyway, I was just wanting some guidance if there is any. "Clean data" is a big thing in this business (as you know), and folks are always wary when results change and the only variable seems to be the data. One thing I haven't done yet is compare live trade data and live demo data with the market replay data over a two week period to gain more understanding of what is "real" and what is not. I will do that next at great expense to my hairline. :) Thanks! Date Time Of Last Edit: 2024-06-05 21:54:11
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