Backtesting tick data using IQFeed
Author: Orly24
Creation Date: 3/6/2016 10:04 AM
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Orly24

#1
Hello,

I would like to know if I could run backrest on strategy based on ticks data.
My tick data is provided by IQFeed.

In addition, regarding the loading time of the ticks- can I improve the speed?
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Eugene

#2
Hi,

The IQFeed provider currently supports Daily, minute and second bar scale. AFAIR, the tick scale was considered but probably did not make it due to high workload. I'll check the status next week.

As a workaround you can use ASCII as suggested. Should you have further considerations re: ASCII ticks, feel free to revive that topic.
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Cone

#3
You can use "n-Second" intervals with IQFeed, which is something that our computers might be able to keep up with realistically in real time. (I know you said "backtest", but the goal of backtesting is [almost] always to apply a strategy in the present.)

Remember, in real-time the strategy has to run over all the bars in the chart every time a new bar is appended. For an instrument trading dozens of ticks per second, you wouldn't be running in "real-time" after the first second. n-second bars conflate those ticks to more manageable bars of OHLC/V data.

Imho, things happen fast enough when trading 1-minute bars. If you must, use a smaller interval, but anything smaller than 10 or 20 seconds is just noise.
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Eugene

#4
QUOTE:
I would like to know if I could run backrest on strategy based on ticks data.
My tick data is provided by IQFeed.

Update:

Sorry, support for tick data is NOT coming to the IQFeed provider due to certain complication. We do not plan to add support for ticks.
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Orly24

#5
Hey ,

Thank you for your replay.

Is there a Data provider which allows using ticks for back-testing?

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Eugene

#6
ASCII and Database providers support Ticks.

With Wealth-Lab you can't trade on time frames lower than 1-minute with the Strategy Monitor.
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Eugene

#7
Support for Tick scale is coming to our IQFeed provider's next version.