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Direct MessagesDate/Time: Sun, 19 May 2024 05:43:27 +0000
Post From: New user with some questions
| [2014-02-12 00:01:43] |
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When I read about replaying a chart, I thought I read that it is very precise. I would assume limited to the amount of historic tick data. Am I misunderstanding this feature?
It is precise if you have tick by tick data. We do not know what exactly what your automated trading system is doing. The trading system is not going to be called at every tick for efficiency reasons during the replay back test, and Sierra Chart does not save the actual bid and ask prices. We do plan to save the bid and ask data at some point in the future. At present I use different data streams within my code. One example is I use bid and ask data for trading the S&P futures. It sells only on bids and buys only on ask. Another example would be using the last of the S&P cash index and Nasdaq 100 futures which I pull live values from. In some cases if my trading chart is 1 minute, these other charts could be 15 mins or 15 seconds.
This is supported in Sierra Chart. But when running a back test, the result is not going to be the same as live trading. 1. I use 1 tick data and my code places an order to buy at 101.25 limit. Time is 10:01:15.55 At that moment, the ask is 102.00.
at 10:01:16.00 the ask is 101.25 and my order is filled. The problem is Sierra Chart does not save the actual bid and ask prices and they will not be known exactly during a back test. They have to be estimated. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-02-12 00:18:46
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