Market data issues

Issues with playing back historical market data to trading strategies can become a problem if the market data that trading strategies observed in live trading is different from what is observed in simulations. This can be because of differences in the servers used for historical market data capture versus live trading, the way market data gets decoded in the historical archiver process versus live market data process, issues in how the data gets time stamped and stored, or even in the backtester that reads historical data and replays it to the trading strategy.

It is quite clear that if the market data time series is different in simulations versus live trading, then all aspects of algorithmic trading strategy suffer/deviate ...

Get Learn Algorithmic Trading now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.