- ago
Hi,

I wanted to backtest this intraday strategy:



using sector ETFs

DIA EEM GLD IWM QQQ SPY TLT XLB XLE XLF XLI XLK XLP XLU XLV XLY

using Alpha Vantage for the last 30 days I am getting 500+ trades.





But using IQFeed I am getting within same time period only 29 trades.




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- ago
#1
I noticed there are discrepancies in prices

IQfeed



AV



Open and High values don't match.

and then bars after, AV feed apparently has a sooner selloff.

here's TradingView chart for the same day

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- ago
#2
I tested a slightly different strategy,

using IQfeed I am again getting max 30 trades per month, but using AV feed I am getting 300+ trades.

any ideas? 🤷
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- ago
#3
A few observations.

IQfeed matches free Tradingview feed, but I have heard that their free feed isn't very accurate, could it be the case for IQfeed?

When I change strategy parameters using AV feed, and when I reset them to same parameters I used for IQfeed, I get different results every time, 10K, 14K, 21K etc, even though I have transaction weight added.
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- ago
#4
I'll look into AV intraday data using the API key you've supplied and post back my findings.
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Cone8
 ( 24.56% )
- ago
#5
IQFeed is a tick-by-tick provider; it's usually very accurate. No provider will be perfect all the time, but I'd put my money on IQFeed given a choice.

Anyway, you don't have to guess. Pick a bar, analyze the ticks and you can determine yourself which one is correct.
1
- ago
#6
I noticed where is the issue...

AV data starts each day with 9:45AM bar

AV data



IQfeed marks first bar as 9:45AM, but it's actually 9:30AM bar



Here's the same chart on 2 different feeds

Tradingview



ToS



Notice how on AV data you have 2 red candles and then green one, but on others there's 3 red candles and then a green one.

Is a problem with WL or how AV provides data?

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Cone8
 ( 24.56% )
- ago
#7
QUOTE:
IQfeed marks first bar as 9:45AM, but it's actually 9:30AM bar
ALL data providers for WealthLab are required to timestamp bars using the time at the end of the interval.

e.g., A 15-minute bar with a 09:30 timestamp in another app will be marked 09:45 in WealthLab. That bar data are the same.
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- ago
#8
Ok,

and here I probably understand why I am getting more trades I am getting a lot of duplicate trades.

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- ago
#9
sorry,

wrong image

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- ago
#10
With the API breaking change, data is timestamped start of bar. As @Cone points out, all WL providers must adjust the timestamps to end of bar (as IQFeed does). Fixed in B40:



After its release, your AV bars should match those of IQFeed's better.
1
- ago
#11
Thank you
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