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And it claims that I can backtest with Bid/Ask tick granularity.
First what I did was download Bid/Ask data for GC ##-## from 01/01/2013 to 03/31/2013.
From there I created a very very simple strategy following the instructions posted in the website mentioned above.
Here is my code
If you look at the attached image, it looks like the exit is executing not on the close of the bar, but the trade opening the trade are filling at the open.
Has anyone ran into a similar issue when trying to create a intrabar backtest?
Cheerrs,
SodyTexas
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Can you help answer these questions from other members on NexusFi?
The Bid, Ask, and Last historic data are stored in three separate files.
On a one second granularity, there is no way to correctly re-sequence these three files for back testing.
Using Tick like in your code won't work because The Bid, Ask, and Last tables do not have equal numbers of entries in the stored data table for accurate back testing.
The data gets retrieved out of sequence.
I did the same thing talked about in that article, tested it, then scrapped the project.
I'm glad they found it usable, I did not.
In my opinion, try using Market Replay or wait for NinjaTrader 8 . Any year now. Sigh...
I have been using Replay for most everything, but now I am looking to optimize a system which can not without the back test functionality.
At the moment, I am trying to find a solution until NT8 comes out, since I can't count on NT time-frame on the release of NT8 Beta so, I thought I would explore my options. NT is going to lose customers if they don't get there act together, but then again I already bought there Muti-Broker option, so in there mind they go there money out of me.
Thanks for the reply,
Cheers,
Sody
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."
Accurate bid/ask data (associated with proper last) is in Elite section of futures.io (formerly BMT). If you want, you could make this work with some custom programming. But it would be better to write your own app to do it like others have done, or just wait for NT8 which should be around the corner in beta form.