TradeStation for Tick Backtesting

Discussion in 'Automated Trading' started by Norm, Jan 5, 2006.

  1. Norm



    I have started using TradeStation for backtesting and have noticed some aspects of the system that appear to detract from its ability to backtest using tick data. Not the least of which is the limited availability of tick data (30 days nominally). The entire program really appears to be based upon the use of bars and using tick data looks like an awkward afterthought.

    Does anyone have any comments on this matter?

  2. You need tick data with quotes and sizes, and time
    in HH:MM:SS (Tradestation is HH:MM)

    Tradestation don't provide them, because Tick w/quotes
    takes lot of time and PC resource to download in real
    time trading (they can be very large files), you got to
    buy them on the net, and load them as 3rd party data

    Btw, i don't know of any brokerage, even data vendors
    that offers more than 30 days tick data.

    They have plan to increase it to six months and that's
    after TS8.1 SP1 rollout
  3. Norm


    Thanks Nana Trader.
  4. Well, at least 1 advantage of TS2000i: you can test on unlimited tickdata.
  5. You can buy any data and load into it TS8.1 SP1 now
  6. Norm


    Nana Trader - I cannot get the link above to to work.
  7. mmillar



    You should also ask around on the TS forums. Several people have tick files that have a year or more of data.

    You can build your own tick files going forward. Although TS only provides 30 days (at present) it stores that data on your hard disk. If you change the settings so that TS doesn't delete the older files you can grow these tick files indefinately.

    There is currently (not sure if it's fixed with the very latest build) a bug that means very large tick files (a year or more of data) use massive amount of memory and are very slow to load.

    With the recent change to tick aggregation from the CME older tick files may not be that useful for backtesting anyway.

  8. Norm


    mmiller -

    What does this mean:

    "With the recent change to tick aggregation from the CME older tick files may not be that useful for backtesting anyway."

    What is the recent change and how will it affect the use of tick files for backtest?

    Thanks. I appreciate you help.