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Hi QC Community,
I have had a great time learning how to use the Quantconnect platform over the last few months, and I really appreciate the community support. Nice work QC team!
When reviewing my backtest I am trying to validate the “fill price” of trades that occur after hours. Currently, my backtest order fills that do not have tick data readily available use “trade bar data” which is an aggregation of the tick data for a period of time. e.g. No quote information available at 09/12/2011 10:00:00 America/New_York (end period), order filled using TradeBar data.
My question. Is there a way of logging the specific tick data (time and price) that the QC algorithm uses when no quote information is available and orders are filled using TradeBar data?
Thanks,
Caliphe
Louis Szeto
Hi Caliphe
It is possible to log that by adding the following line in the OnOrderEvent method:
Note that Hour resolution data has no quote bar data (level 1 data), it is only available in Minute/Second/Tick resolution, so we recommend using that for more accurate filling.
Best
Louis
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Caliphe Buchanan
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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