Forums - software with milliseconds and L2 in data format

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bidask201

Registered: May 2012
Posts: 19

05-05-12 05:44 PM

I would like to be able to answer questions with simulation/backtesting like if my latency from tick to trade is 50ms vs 30ms vs 10ms or less what will my results be.

(1) Ninjatrader does not have milliseconds in the format. They are working on this. While they have parameter for millisecond delay I believe that only applies to live paper trading - and even if it did not ninjatrader would have to guess the millisecond of the replayed data at this point (eg if there are 100 L2 ticks within a second assume each was 10ms)

(2) AMIBROKER 5.5 now has milliseconds available in the data format. They don't support L2 data it appears

(3) Tradelink (open source) does not support milliseconds

(4) Multicharts 8 beta. They have milliseconds but:
"New keywords allow to level 2 data (DOM data) from PowerLanguage. Now your strategies can reference Depth of Market values for calculations in real-time (not applicable for backtesting as L2 data is not stored in the database). More info here -http://www.multicharts.com/pm/viewissue.php?issue_no=MC-451"

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bidask201

Registered: May 2012
Posts: 19

05-05-12 06:51 PM

Come to think of it the odds are such software would simply use the fix or fix/fast format but there are probably some that would process that format that for example would not even allow backtest access to more than L1 so using fix or fix/fast is not a necessary or sufficient condition

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PocketChange

Registered: Jul 2008
Posts: 2037

05-05-12 07:54 PM

Subscribe to NxCore.
The time stamp precision is 25ms but you get every message in between.

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OpenQuant

Registered: Dec 2006
Posts: 203

05-05-12 09:32 PM

It has always been possible to capture L2 and backtest with order book events in SmartQuant products...

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bidask201

Registered: May 2012
Posts: 19

05-11-12 01:46 AM

can openquant obey/simulate queue position in backtesting ?

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lfic

Registered: Oct 2012
Posts: 1

10-02-12 01:30 PM

(4) Multicharts 8 beta. They have milliseconds ...

Multicharts do not have milliseconds.
Every ticks that arrives gets assigned a unique ID by MC to display and calculate them in the right order. There is no way you can get a millisecond timestamp for a tick, everything is rounded to a whole second even if you use double-precision ComputerDateTime.
And, DOM keywords will only work if you use your broker as a data feed. With IQFeed, for instance, you will get 0.

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