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