Thanks for your comments. I agree, with you. Ninja does have options for a set of secondary bar series to be used as the price data to fill your orders, this allows to bring in more granular data. For instance, strategy running on a 5 min bars, but order fills occurring from a 1 min bars. I have never bought tick data before. 1. How much does historical tick data cost? 10 years worth of data. Thanks,
Thank you Znail, Thanks for the recommendation It makes good sense to back test with as accurate data as possible cause once I click start on the strategy, I want the odds of winning to match the back test results. I am serious about finding a trading systems that proves reliable in back test. Thanks,
Hello Znail, Can you please explain the benefit and why a forward testing of strategy is needed? How long do you plan to forward test and what results are you seeking as the outcome of forward testing?
Hi Simplelikeme, I think we are getting off and off the original thread topic, please create a thread related to the topic of your interest and tag me in or PM, I will be happy to reply all I can, I do not want to flood my thread with off-topic. However, if your specifically ask why do I forward test my ARB strategy here, here is my answer; 1. Nowday, all over many forum talked about ARB as impossible, and they give up looking for one that works (as you can see in many replies in my thread). 2. To give new hope and vision to ARB using new way to implement it. 3. I plan to forward test until I feel that I can change people's vision how they see ARB nowday.
Hi SML, I will keep it posted when there is significant movement in account (profit up, down, deposit, withdrawl, etc.) to avoid flooding my post with pictures.
From my own experience, forward or back testing any type of legitimate arbitrage is pointless. The most important consideration - execution efficiency, simply cannot be gleaned from tic data or time & sales data. You cannot make a reasonable assumption with respect to execution fills using data vendors. When it comes to legit pure arbitrage live trading is your only recourse as to the feasibility of your strategy - the rest of this is just masturbation. For example, I've seen guys trading ICE WTI versus Nymex WTI have their razor thin trade permanently evaporate in a very short timeframe. These speed games are very tenuous and fleeting, as there are bigger players willing to spend large sums for ECN infrastructure. Just my 2 cents, YMMV. Good luck with things and I hope it trades well for you in reality while it lasts.
Hi Bone, thanks for sharing your experience. Luckily, we did not do 2 latency arb . I will keep it posted good or bad.