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I want to backtest hft maker strategy tick by tick.
For example, The current quote is: Sell: 101 Volume: 80 Buy: 100 Volume: 30
I put buy order at price 100 with volume 10. Does the backtest engine consider the pending orders? What time is it when my order matched? Sell trade reach 100 or cross 100 or between them?
Comentarios (4)
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Hello
Our backtesting engine executes strategies depends on what the input is. For your case, we recommend using tick or order book data as an input. Please be noticed that the performance of backtesting depends on how much input data. Usually, more accurate execution required the most CPU time.
If I use tick by tick backtesting, how about the accurate and match rules of backtesting engine? Can I customize the match rules of tick backtesting engine?
Hello
Accuracy depends on what the underlying data comes inside. The most accurate data is order log. Then order book. Then ticks. Candles are the most non-accurated data but the fastest.
Backtesting engine provide settings options https://doc.stocksharp.com/html/P_StockSharp_Algo_Testing_MarketEmulatorSettings_Latency.htm Also our emulation engine is open source https://github.com/StockSharp/StockSharp/blob/master/Algo/Testing/MarketEmulator.cs
Got it, thanks a lot.