General Back Tracing Question

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General Back Tracing Question

posted

Here is a log of my requested trades.

2008-01-30 09:31:00-05:00: Ordering 135 shares of Security() @ 22.12
2008-01-31 09:31:00-05:00: Ordering -135 shares of Security() @ 23.36
2008-01-31 09:37:00-05:00: Ordering 143 shares of Security() @ 20.47
2008-01-31 11:51:00-05:00: Ordering -143 shares of Security() @ 21.55

and here are the transactions.

2008-01-30 09:33:00 BUY 50 $22.29 $1,114.40
2008-01-30 09:34:00 BUY 85 $21.64 $1,839.40
2008-01-31 09:37:00 SELL -135 $20.47 ($2,762.91)
2008-01-31 09:38:00 BUY 143 $20.79 $2,972.54
2008-01-31 11:53:00 SELL -50 $21.46 ($1,073.25)
2008-01-31 12:07:00 SELL -50 $21.43 ($1,071.25)
2008-01-31 12:12:00 SELL -43 $21.13 ($908.42)

I understand fundamentally why this is occurring based but what I don't understand is how a back test can ever be used to model real trading.

Is there anyway to back test for sub-minute data in the works?

4 responses

Hello August,

I doubt that Quantopian will provide sub-minute data for free. It could be argued that the existing free minute data would cost you ~ $17,000 plus ongoing charges from QuantQuote.

I think a business case could be made later for Quantopian charging for a premium service with one of the differentiators being second or even tick data. I read the other day that Quantopian could be the next Bloomberg in the sense of eventually having an Average Revenue Per User (ARPU) closer to Bloomberg's $16,000 per user per annum than to Facebook's $2 per user per annum. See: http://www.forbes.com/sites/petercohan/2013/10/04/is-quantopian-the-next-bloomberg/

P.

I really encourage Quantopian to consider the benefit of providing this data for free in the backtest. I read that article. You can not bring trading to the masses if you can not provide tic data for free. You will price out your only clients.

Hi August,

I appreciate that folks have interest in accessing historical tick data for certain use cases, however Quantopian does not currently have plans to offer tick level data (either for free or for pay). We are not targeting the high-frequency trading or HFT space and we speak to this and other questions about our business model on our FAQ. We intend to keep backtesting and paper trading with minute-level market data free for all users, forever. We are currently exploring business models based around our live trading feature - which is in a limited pilot phase at this time (anyone is free to join the waitlist here).

But back to your original post, it looks like you are getting partial fills on your orders over several minutes and this lag is confusing? I might be misinterpreting, but its easy to miss the fact that our backtester applies a volume share slippage model by default (i.e. if you don't specify a slippage model, we apply one for you) - if you set your slippage model to the Fixed option you should see your orders being filled regardless of traded volume. You will continue to see a 1 minute offset in between when orders are placed and filled in our minute-mode backtester. This is consistent with how our live trading feature works as well.

Best wishes, Jess

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Thanks for the response. The issue is when a buy and sell order occur in the same minute.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.