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IB Backtesting and Data Feeds


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IB Backtesting and Data Feeds

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 choke35 
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
Posts: 2,668 since Feb 2013
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RAM011558 View Post
Thank you. A big help. From what I've investigate so far, the issue is that most historical tick based data only goes back 3 or 4 months while I need years worth of data (3 years or so). Is this your understanding or am I wrong?

Also, I am wondering if NT could handle that much tick data during a 3 year backtest before it bogs down. What do you think? Don't mean to take up a lot of your time with this but your experience and feedback is very appreciated.

That's why you need to clarify your requirements and choose your data supplier accordingly.
If you want to trade e.g. the ES, you get several 100.000s of ticks per "normal" day - times
the history. So to cover several market phases and not only e.g. this year's summer and
market lull, you will need to go back in time.

Yes, most platforms can handle that much data, but CPU load can become an issue when
backtesting tick-intense assets like the ES.

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