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Tick data producing less accurate results?
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Tick data producing less accurate results?

  #1 (permalink)
Elite Member
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Tick data producing less accurate results?

I have been finding that when I use tick data in market replay mode on Multicharts it works fine, when I backtest with 1 minute granularity on a 15 minute timeframe it works fine, but if and when I use tick data in a backtest the entries and exits are not correct.

For example, it pegs the exit point as the high of the bar when in reality the exit would have been mid way up the bar (as shown by minute data and tick data in market replay mode).

Does anyone have any suggestions as to why this might be?

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  #2 (permalink)
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  #3 (permalink)
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toddma View Post
I have been finding that when I use tick data in market replay mode on Multicharts it works fine, when I backtest with 1 minute granularity on a 15 minute timeframe it works fine, but if and when I use tick data in a backtest the entries and exits are not correct.

For example, it pegs the exit point as the high of the bar when in reality the exit would have been mid way up the bar (as shown by minute data and tick data in market replay mode).

Does anyone have any suggestions as to why this might be?

which version you are using?

if pre v8, you must upgrade.

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  #4 (permalink)
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I am currently using Multicharts 8 - looks like 8.5 beta is available now.

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  #5 (permalink)
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Do you have the IOG (intrabar order generation) turned ON? It sounds like no.

Regards,
Neil.

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  #6 (permalink)
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Yes. It's actually part of the code - it can't be turned off.
This whole issue is quite puzzling...

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  #7 (permalink)
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toddma, first of all it would be helpful to know to which extent the trades based on 1 minute and tick resolution do not match. Second, could you provide any details about the way you enter and exit? For example limit entries on tick data stream won't work the same way they do on 1 minute bars. Then, we don't know anything about the logic/math which actually produces entries and exits — it is more than possible that changing the data compression would dramatically change the calculated values.

The bottom line: any additional information about your code and the traded instrument is helpful.

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  #8 (permalink)
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This sounds odd, I'd be interested to hear if you found a solution?

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