What to use to backtest?

Discussion in 'Automated Trading' started by anh_trader, Apr 14, 2010.

  1. Hi everybody I'm new to trading and looking for some help with some problems. Right now I'm learning about backtesting but still don't know what platform or data feed would be the best for backtesting purpose. At the moment I use IQFeed w/ Ninjatrader but it seems IQFeed does not have historical bid/ask prices. So can anyone point out for me the way for this problem?
  2. iqfeed has historical bid/ask prices, but not bid/ask sizes
  3. What are the differences?

    Anyway, here is what IQFeed told me:

    We only provide the bid and ask at the time of the trade.

    We don’t provide historical quote (bid/ask) updates that occurred between the trades.

    The stream would need to be captured in real time and stored so that it would be available for later back testing.

    And here is what Ninjatrader support told me:

    This would be the issue then since the IQFeed data provider does not currently support historical bid/ask.

    So I guess i cannot use IQFeed for backtesting.
  4. my memory of the api is that they did support bid/ask on historical querries, but only price not size. maybe they got rid of this though, esignal got rid of bid/ask historical so maybe dtn is following suit.

    you can use tradelink to record realtime bid/ask from DTN and backtest with it. it's free an open source.