Quote Tick and Trade Tick by Frankwang

Frankwang INVESTOR

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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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Frankwang

Accepted Answer

Update Backtest

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Shile Wen

63.5k Pro ,

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

Frankwang INVESTOR

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