Which software backtests Bid Ask data?

Discussion in 'Data Sets and Feeds' started by maxpi, Oct 9, 2009.

  1. maxpi


    I'm looking at software packages in increasing detail as I home in on a setup that backtests, charts nicely, and executes well... so far, like others that have gone down this path I'm finding that with those three requirements there are three different softwares required...

    I'm getting down to nitty gritty details at this point, like, I've always backtested on Trade data, never on Bid Ask, but I'm thinking that Bid Ask would be better and i've seen it discussed occasionally. With trade data you can't distinguish if your price would have gotten traded unless price trades through your price and that leaves out transactions where price merely touched your price. I'm not seeing software that deals with Bid Ask files though.. I got a file from CQG that is Bid Ask and Trades, so that clues me that somebody wants that kind of data but I'm not aware of commonly available software that can backtest and optimize on the Bids and Asks... is there such?
  2. http://tradelink.googlecode.com

    *free and open source.
    *fast backtesting of tick (bid/ask/trade)
    *level2 data support
    *supports 5 brokers.
    * backtest speed 250,000 ticks/sec
    *auto-tick recording
    * import data from cqg/esignal/tradestation
    * many other features
  3. maxpi


    I didn't completely overlook tradelink in my quest, but I didn't look into it much at all, duly noted..

    I searched a little better and found that Neoticker accesses bid and ask in backtests, and Sierracharts backtests by replaying at higher speed and it can access bid /ask data but it can't optimize other than by repeating the replay over and over.. it would be useful then for testing a system against Bid and Ask after it was optimized in another system on trades maybe...

    Edit: actually I did completely overlook tradelink up to this point, I was confusing it with something else..
  4. maxpi


    Tradelink looks excellent actually, event driven, simplicity, CQG bid ask data... thanks for the link..
  5. Tradelink looks incredible. I think I've seen you post this before but didn't think it would have been at this stage of developement.
    Any chance of supporting data from DTN any time soon?
    I might have to give esignal a month trial and see how this goes. Have to get an IDE installed and see how this is compared to Ninja as I'm ready to give up on that program. Building a suite of tools around an IDE probly was a better idea than Ninja trying to roll their own.
    With the blurb about matlab I take it this could be used simply as a bridge between Matlab and the supported data providers?

    Max, Ninja 7 will store bid/ask data but if you look on the forums, the timestamp granularity is only to 1 second and there is no way to sync the index of the bid/ask series to last so its hard to understand what use it is.

    While neoticker can probly do what you want, I've given up on that program too because I've read too many times about people falling into mazes they can't get out of because while something should work, it doesn't quite live up to what its sopposed to do.

    Seems like something closer to rolling your own like Tradelink is probly the only viable option.