what is the best way to simulated tick by tick data

Discussion in 'Data Sets and Feeds' started by polee2000, Jun 8, 2005.

  1. 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 ?
  2. 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.
  3. 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.