Newbie question about Tick resolution vs Second resolution by Anders Bäck

Anders Bäck

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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

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Anders Bäck

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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

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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

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