My strategy exists winning positions in the pre-market and post-hours if limit order is hit. As I'm programing my own backtester, in order accuratly test I'm in need of daily OHLC data that contains the pre-market and post-market sessions in the High and Low quotes of the data. Anyone know a provider for this data? Also tick or smaller time fracture data that can be merged into a existing OHLC data set. I have previously backtested every trade manually using my brokers charting platform (low volume swing trading strategy so possible to backtest using pen and paper).
I know using IQfeed with Amibroker allows me to set market times so I can distinguish pre market, market and after market. Their tick request is only 120 days back but 1 min history goes back to 2007 for most their products. I'd contact their support for what your looking for and see what they say. Their very quick with e-mail and do offer telephone customer service. I'm thinking IQFeed with something like Qcollector to get the data would work for you. Heads up though that their intraday data is not split adjusted. Can always make a multiplier if you have eod split adjusted and intraday non split adjusted. Think that's the norm for those using their product with this scenario. You would be looking at like 75 for the subscription for delayed data to their markets. Exchange fees can add up quickly though if your looking for realtime.
Thanks for the info, appreciate it. Mean while, as my strategy is trading a leveraged ETF on the Russell 2000 stock index I figure I could replace TNA with continuos contract on the Russell 2000 future (TF) and same leverage to get a trade position reflects that of the TNA index ETF. This futures data is available for free at quandl.com though API or download.
You could also try and modify your backtesting algorithm into QuantConnect's framework. You can't download the data but you can test against it. And it includes pre and post-market data.