November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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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 ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.