If the more liquid stock is the active symbol, AB fix the problem at least at indicator level from what I can see, but if the active stock is the illiquid missing quotes one, also the liquid is on the same time stamps but I am not sure if barnumber are consistent
I hope in backtesting at portolio level ... all the bar of the most symbols are use LY --- In [email protected], "loveyourenemynow" <[EMAIL PROTECTED]> wrote: > > I have realized that IQ data skips bars for illiquid symbols(if there > is no trade I guess), so that c[i] and c[i+1] in minute time frame for > example could correspond to an actual time difference of 5 or even > more time. > If I backtest a portfolio this will imply that I am looking a > different times for different stocks depending on their data availability. > For example > > c[100] is at timenume()==132200 for sym1 > c[100] is at timenume()==132700 for sym2 > > timenum() is not valued on per symbol bases, so I wonder what does it > return when is called in these cases. > > The consequence is that the backtesting would be totally unreliable. > Compressing data at longer time scales should fix, but still depending > on the liquidity I would not now at what scale to go, and I am not > sure how IB would deal with compression in such a scenario. > > Anybody had the same problem? > > Thanks > Ly >
