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I remember at least one case where I developed a HG system using historical 1-Minute bars that didn't work with real-time (uncorrected) data.
Any system that trades frequently intraday can easily be verified by running it for a few days with life data. Also, the 2nd article on the UKB tell you how to save uncorrected (raw) data for later comparison with backfilled data.
Of course different systems have different sensitivities to qualities. You can try and design so that your system is insensitive to the problems outlined on the UKB.
best regards,
herman
For tips on developing Real-Time Auto-Trading systems visit:
http://www.amibroker.org/userkb/
Monday, June 23, 2008, 10:04:25 AM, you wrote:
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Hi,
Well, I'm not really sure but it seems that one-minute bars have so many trades (assuming your contract is at least somewhat liquid) that these errors should pretty much cancel out and stop being a problem.
----- Original Message -----
From: Louis Préfontaine
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, June 23, 2008 9:40 AM
Subject: Re: [amibroker] Re: Questions for people using automatic transactions with IB
Hi,
I wonder if the problems with HFAT can happen in « normal » trading. I mean: if I trade with 1-minute bars, I will build a system with data that has been revised at the end of the day. E.g. the data errors will not be there anymore. However, in real-time trading, those errors will be there.. So how can one deal with this, even without automatic trading?
Louis
2008/6/23 reinsley <reinsley@xxxxxxxx>:
thank you, I discovered the use of static var on that occasion and now
this point is much better.
Too many things are missing in my formula, I can't ask help as it
could seem that i'am asking for a ready-made solution. I have to keep
my cards when I'll be trapped.
I need to scambled for the archive first.
Regards
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