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Number of Tick:s sent to OnData

At tick level resolution, what determines the number of ticks sent to OnData? Does time slices have some minimum size?

It seems I get around 50-100 ticks per OnData in back test, whereas in live it's typically one tick but up to around five for SPY (I presume, in that case the number of ticks received is dependent on how many have queued up until OnData can be called again).

My understanding is this impacts back test results since orders will be more granular intervals than otherwise would be the case. Although today it seems to be working out in my favor with live test doing better than backtest..

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Our tick data for backtest is timestamped to the second. All ticks that arrive in OnData belong to the same second. In live mode, ticks are flowing freely.
 

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Good to know, thanks. Explains some behavior I've been seeing, my order execution will probably end up working better in reality then. :)

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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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