3 ms·
Real firms use tick data to backtest, not the 1 minute bars that Quantopian uses, and spend a lot of time simulating network characteristics such as data and or
by akrymski 9y ago
Real firms use tick data to backtest, not the 1 minute bars that Quantopian uses, and spend a lot of time simulating network characteristics such as data and order latency. They also use machine learning, which isn't possible on Quantopian, to build models, which requires downloading lots of data (and not just equities). No serious quant will ever use such a tool. You might as well go to the casino.
- akrymski 9y agoEdit: tick data is usually collected over time, because data sources have different characteristics, and you should be testing over the same realtime data that you'll be using to trade live. You need to know the bid/ask prices and volumes, in order to know where to place limit orders. Otherwise you are just paying commissions and spreads to brokers and market makers.
- deleted 9y ago[deleted]