Newbie question about Tick resolution vs Second resolution by Anders Bäck

Anders Bäck

| Reward Discussion

Hi!

This is my first interaction with anyone about QuantConnect. Please do tell me if this is not the right forum for these kind of startup newbie questions.

See screenshot, I have made a simple experiment counting the number of time onData is called for Tick and Second resolution for the data subscription. As it turns out onData is called MORE times for SECOND resolution than TICK Resolution which is weird. I expected the opposite. What is the reason for this ?

Platform looks awesome!

Cheers Anders

Update Backtest

Anders Bäck

Accepted Answer

Update Backtest

Notebook

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.

Jared Broad

Hey Anders! Second Resolution is set to default fill-forward; so if a trade only happens once per hour you'll still get an event every second. Alot of people rely on those pulses to time and schedule their algorithm. Tick resolution is impossible to fill forward as ticks represent trades which happened at points in time, without a period.

See docs here for info on data settings.

Anders Bäck

29 ,

Hi Jared! Thanks for answering. I am onboarding on your platform atm and i am the type of guy who really wants to understand things before i write my first algo. If it not too much trouble could you point me to a place in the codebase where this is modeled and then i can continue my fact finding mission from there (i am open source dev).

Again thx!

Cheers

PS: I am also interested in reviewing your MatchingEngine, cheers

Jared Broad

Recommend starting first with the open source project and tutorials. The code is well commented and there's alot of places to get started on GitHub. https://www.github.com/QuantConnect/Lean

Anders Bäck

Update Backtest

Notebook

To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!