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Is Market Replay sufficient for backtesting a strategy with tick data?
I programmed one but it needs tick data and I want to backtest it for some month. The Market Replay data from NT is nice so I wonder what your experience is with that?
Sadly the strategy optimizer does not work with tick data. I could really use that...
Can you help answer these questions from other members on NexusFi?
Ditto, I found that replay trading most resembles real trading. Backtesting, not so much at all. I tried to build a couple of autostrats before when I was day trading currencies and the biggest problem I had were partial fills. Any partial fill would totally screw up the whole system because it didn't know to adjust the closing orders to the intial fill. I want to say that it had something to do with limit vs market orders, but I forget the details at this point. Maybe someone else can speak to this. Apart from that, I would suggest simming for a day and then run the replay for the same day and compare the results. Same thing after you go live, I would compare the actual trades to the replay trades for a while until you know it's working like you expect. Good luck.
I've had trouble trying to use tick data in optimization primarily due to memory exhaustion. I've found that using 1 tick range bars is much less problematic, and I think should give reasonably similar results.
Market versus limit orders? I thought with limit orders you get partial fills and no slippage but with market orders you get full fills but you are open to wide slippage? Am I wrong?