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Can someone explain tick data limitations to me?

Hello,

I've never worked with tick data algorithmicly and am curious what limitations I will run into on the platform as opposed to reading the tape with discrecionary software.

I've cloned the Ticker example which has been helpful but i'm not sure i've uncovered all the posibilites in the docs.

Some questions I have:

   1. As asked above, what limitations do I have compared to a time & sales tape?
   2. What is `ticks[0].SaleCondition` ? I'm getting "F" and "@" in the logs so far
   3. `.TickType` returns "Trade" or "Quote".. what is the differnce, is the quote just an updates price and not an actual sale? They all seem to be "Trade" in my short test session
   4. The `BidSize` and `AskSize` are always 0 in my test, will these be actual prices in live trading or will they always be 0? From the Lean docs it seems like it was built in for potential future usage?

Lastly if I aggreate all the trade ticks with their price and quantity would that be similar to the time and sales tape? (omitting bid/

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Hey Adam! The data which comes through the website is limited to what we have: you can see the full list here: quantconnect.com/data

Equity tick (trades only, timestamps rounded to the second), futures tick (trades and quotes), options (minute level trade, quote bars) and forex tick (quotes only). Ask size and bid size will always be 0, and ticks will always be trade if we do not have the quote data.

Note: We include sample data in the open source for you to play with; but please avoid violating the terms of use by explicitly logging the tick data. The data vendors block people's accounts :\

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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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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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