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Live Data Feed for Second Resolution

Hi,

 

I was wondering how QC works internally for back tests, live papaer trades, and real live trades. I have a few questions about that:

1- from what I understand the feed providers usually provide Tick data and not directly Second data. So when an algo uses Second resolution, is it LEAN that is converting the tick data into second data by fill forward? (is that the correct term?) or the feed provider actually provides consolidated/aggregated live Second data?

2- where does the data feed for QC paper trade come from? is it IB? or IB's default data feed? or some other sources?

3- do the feeds for QC paper trading, IB paper trading, and IB live trading come from different sources?

4- do historical data and live feed data come from the same source?

5- does LEAN clean up suspecious data before calling OnData? or passes those to OnData as well?

6- does historical data include the suspecious data? or what we test with is already cleaned up?

 

Thanks a lot

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Any inputs on this?

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1. Lean aggregates the tick data into the subscribed resolution;

2. QuantConnect paper trade data comes from QuantQuote (US Equities), AlgoSeek (US Options and Futures), FXCM and Oanda (Forex) and OANDA (CFD);

3. See answer 2. Accordingly with this information, IB paper and real data are the same;

4. Yes, if you are using QC paper account, you will get historical data from us. If you are using IB paper/live account, you will get historical data from them;

5. The live tick stream is not filtered as its impossible to do in real-time. Most of the prices you see in Yahoo/Google etc are a tiny tiny subset of the real market tick stream (say 1/20th of the volume).

6. Same as 5. US Equity tick data from QuantQuote, for example, has a boolean field for suspicious tick.  

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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.


Data from a vendor can have discrepancies, since they can be applying some sort of post-processing after the market is closed. This is one of the the many reasons we should always test our algorithms with live data in a paper trading account.

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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.


Sure. Apparently QQ adjust their prices with dividends and someone (see the link below) said they use an incorrect formula.
 

https://quant.stackexchange.com/a/34797

 

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Data "flame wars" are pretty rampant and I'd rather not bring them here. If you look around StackExchange you'll see hundreds of similar flaming threads from one data provider to another. 

Alex misunderstood above -- we have pay thousands of dollars a month for raw ticks from the exchange and raw ticks from QuantQuote. In our experience they match very well. We use QQ for backtesting as its a reliable indepdentant provider for the end of day ticks/splits/dividends.

QuantQuote provides data in raw or split adjusted form. We purchase raw tick data in bulk, along with adjustment files for split and dividends. We also engineered the dividend payments to test they match those posted on Yahoo etc; which they do. This is all open sourced and you can view how we pump the split and dividend events into the algorithm in Github.

QQ has colocated servers at each exchange pulling off the ticks at millisecond timestamps and a very reliable daily deployment system which gets those ticks to us at 11pm each day.

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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.


Update Backtest





0

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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