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                                                   Does Quantshare make any "assumptions" when backtesting tick data?

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M808
2015-12-17 04:33:54


I have historical tick data for a symbol that shows the following:

-Every Trade's closing price and volume.
-Every change in the BBO's price and volume.

Can Quantshare use all this data when backtesting?

For example, if a stoploss happens within a bar will Quantshare report my trade's closing price as the price of the tick that caused the stoploss?
Or will Quantshare just make a general "assumption" and report the my trade's closing price as the lowest price that happened within the bar?

I ask, because I've had major issues with other platforms (such as Metatrader and Multicharts) making these general "assumptions" when backtesting.

Thnks!


QuantShare
2015-12-18 02:11:55

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That depends on which time frame you are using during the backtest. If you are backtesting using say 1-min time frame then the backtester will only use the 1-min bar data for the entries & exits. For a stop you can enable "activate stop immediately" option and your stop will be executed at the exact stop price (+- slippage).


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