Quote Tick and Trade Tick

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Hi All,

I am creating a custom dataset for my Lean instance. The data I have contains trade ticks along with the bid and ask for when the trade tick occurred. 

Should I create a corresponding Quote Tick file with the Trade Tick file? I see many zeros in sample Quote tick files. Would my Quote Tick file contain non-zero bid and asks for each timestamp? Also, would the format for the quote tick be:

TIMESTAMP1,BID_PRICE,BID_SIZE,ASK_PRICE,ASK_SIZE,EXCHANGE,00000001,0
TIMESTAMP2,BID_PRICE,BID_SIZE,ASK_PRICE,ASK_SIZE,EXCHANGE,00000001,0

Also, how are Quote Tick and Trade Ticks used during a backtest? Can the exchange be arbitrary if I don't have that data either? 

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Hi Frank,

We need to save the bid/ask data in one file and the trades (format guide here) in another, as demonstrated here. Your data is in the correct format for Quote ticks. Currently, there is no difference for the use in the backtest, but we plan to treat quotes and trades differently in the default Lean fill model.

Best,
Shile Wen

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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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