I was wondering if anyone can recommend a platform that can backtest custom automated strategies and simulate fills using tick data. It has to be able to run backtests quickly. I've searched and have not found any good answers to this question.
I have tried Ninjatrader and Sierrachart so far. Both are very slow when using tick based data to simulate fills. For reference, it will take anywhere from 5 to 10 minutes to go though 1 month of ES tick data.
I know it can be done much faster because I wrote a C program to backtest on tick data and it went through 1 year of ES tick data in 4 seconds. I only made a minimal amount of optimizations as well, I'm sure it could be done even more efficiently. I don't want to write it myself because I am looking for a more comprehensive backtesting and portfolio analysis suite and do not want to spend time verifying the accuracy of my backtester and fixing bugs. Time is money.
If anyone is wondering why I care so much about performance, it's because I need to run thousands of backtests per strategy with each backtest on years of tick data.
Is there any software that can do this? I am willing to spend quite a bit of money if I find a good solution.