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Getting Filled intrabar

Hi,

Is it possible with backtesting to get filled intrabar rather then OHLC?

 

Thanks,

Enda

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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.


You can only get filled at a time when data is incoming. If you've subscribed to Daily data, you can only get filled at the beginning/end of a Daily bar. Likewise for Hourly, Minute and Second.

Depending on what your order criteria are, you may need to increase your data resolution - potentially up to Tick level.

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Hi Douglas,

Thanks for reaching out. Can you tell me how to increase the data resolution?

 

Thanks,

Enda

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Depends on how you've subscribed to your asset. Please see the relevant page in the documentation for more information.

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Hi E,

We provide tick, second, minute, hour and daily resolutions in general. For the resolution avaibility for the specific data you want to use, you could check by our data explorer.

Moreover, if you want to use customized resolution (for example, 5 min bar, 7 day bar, etc),  we could achive that by data consolidation. Here is our documentation page for more information.

To declare the resolution to use, we put in resolution argument when we add security. Here is an example to subscribe minute level resolution for "SPY" data:

AddEquity("SPY", Resolution.Minute)

To get more familiar to our platform, I recommand to start with our bootcamp. You could learn some basic usage of our API including resolution settings.

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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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