Hello,
Nowadays, shortest timeframe available for US Equities trading (backtest/real time) is a minute bar.
Is it possible to trade on a tick interval?
Meaning, calling handle_data every price change?
If not, will it be available in the near future?
Thank you very much!
EDIT:
In addition of calling handle_data every tick, get price changes (data.history) respectively.
Tick data is not implemented. The lowest frequency you can do is 1 min bars. QuantConnect has tick support but they don't show you the bid/ask which is usually very important for that frequency (they try and estimate it with their slippage model I believe).
Thank you very much Adam for your response.
Where can I find documentation for QuantConnect which you've mentioned?
Didn't managa to locate it in the API overview.
Their tick data is poorly documented but I've found cloning the example tick project is most helpful. The Lean docs also have more info burried in there. I would suggest using google to search their site:
https://www.google.com/search?q=quantconnect+tick+data&oq=quantconnect+tick+data
and source code for the Tick object:
https://github.com/QuantConnect/Lean/blob/master/Common/Data/Market/Tick.cs
In general everything there is much less documented than Quantopian and it'll take some work to find what you need.
Their data is not reliable. I once developed a 4-5 sharpe algo using their tick data only to realize that it does not work and was an issue with their data. See https://www.quantconnect.com/forum/discussion/276/spy-etf-trading-strategy/p1
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