if i purchase 2-sec intraday tick data from some vendors. what kinda programming setup do you guys have to backtest. file ->ATS->result ? or file ->access->ATS->result ? thanks
When I did this I stored it all in a database. I then wrote an app to go through it on a timer at first and then changed it to when I clicked the space bar so I could look at the results of each tick as long as I wanted.
The data you have, is it A. 2-sec tick - price + tradesize B. 2-sec bar (open/high/low/close) data In either case you should be able to import them into a trading software for general backtesting. For A, you need software that supports tick data directly. For B, you need to check if your software support sub-minute data, if not, you will need to compress that into minute bar first before you can import the data.