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You can buy historical 'tick data'. Be forewarned, however, that simulations run on this kind of data are not the same as real trading since it doesn't reflect
by thinkingeric 16y ago
You can buy historical 'tick data'. Be forewarned, however, that simulations run on this kind of data are not the same as real trading since it doesn't reflect the bid/ask. Also in my opinion and experience, price alone is insufficient data for analysis. Also don't forget to figure in total execution cost as it makes a huge difference in the evaluation of algorithms, not to mention the 'bank roll' necessary to allow any 'edge' to play out. Trading simulations are an engaging software problem, but they aren't such a great approximation of actual trading, at least in my experience.
- a904guy 16y agoYou can also download daily tick data from Yahoo Finance for free, They offer bid/ask, volume, and adjusted closes.
- i2pi 16y ago"Tick data" refers to trade by trade execution data. Daily data is end of day summary data. If you are doing HFT, you need tick data and the market depth. Huge volumes of data compared to daily close data.
- a904guy 16y agoAye, Tick data is needed for HFT, no doubt there. I was actually talking towards this thread which mentioned that they should try algorithmic trading first. Which you can build a successful system around daily closes, as long as you plan to hold your equity for over a 24hr period.
- _grrr 16y agoFor serious HFT development you need to have order book data too. This costs.