--- In [email protected], "pfgrillet" <pfgril...@...> wrote: > > > Thanks Richard > > Interestingly, Reuters is not listed in the recommended Data providers > > Also came across Futures Truth, who are professionally forward testing > systems (www.futurestruth.com <http://www.futurestruth.com> ) and they > are using CSI, Prophet and Tick Data. See results in their magazine. > > Cheers, richard > > > --- In [email protected], "timekeeper_origen" > <timekeeper_origen@> wrote: > > > > --- In [email protected], "pfgrillet" pfgrillet@ wrote: > > > > > > Backtesting without reliable intraday data is pointless. > > > I've had experience comparing intraday backtests with live trading > forward testing and having completely different bars. > > > > > > I am keen to get other users' feedback on their experience with > intraday data reliability (tick data preferably) - any advise of a > particular data vendor? > > > > > > Cheers, P-F - Australia > > > > > > > reuters - opting for their scrubbing > > good luck > > richard > > > hi pif
been there done that with those three and others. there are big differences in providers' "integrity" and core competencies (e.g. CSI vs. Tick Data..am unfamiliar with Futures Truth) may i ask what frequency bars you require? if you're looking at ultra high frequency you'll encounter a problem with something called jitter in systems that can - for very specific reasons - generate the frustrating differences in the data you're seeing even stemming from the same provider. ugly example: sourcing bars from NASDAQ db itself and taking an exchange member colo'd recorded comparison (i've done this, unfortunately) can create differences of up to ~10% "error" in some of these numbers when looking at every second of a full year's worth of 100 stocks. even more reason to head off to the pub if you decide to measure sub-second lengths - richard
