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--- In amibroker@xxxxxxxxxxxxxxx, "pfgrillet" <pfgrillet@xxx> wrote:
>
>
> Thanks Richard
>
> Interestingly, Reuters is not listed in the recommended Data providers
>
> Also came across Futures Truth, who are professionally forward testing
> systems (www.futurestruth.com <http://www.futurestruth.com> ) and they
> are using CSI, Prophet and Tick Data. See results in their magazine.
>
> Cheers,
richard
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "timekeeper_origen"
> <timekeeper_origen@> wrote:
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "pfgrillet" pfgrillet@ wrote:
> > >
> > > Backtesting without reliable intraday data is pointless.
> > > I've had experience comparing intraday backtests with live trading
> forward testing and having completely different bars.
> > >
> > > I am keen to get other users' feedback on their experience with
> intraday data reliability (tick data preferably) - any advise of a
> particular data vendor?
> > >
> > > Cheers, P-F - Australia
> > >
> >
> > reuters - opting for their scrubbing
> > good luck
> > richard
> >
>
hi pif
been there done that with those three and others. there are big differences in providers' "integrity" and core competencies (e.g. CSI vs. Tick Data..am unfamiliar with Futures Truth)
may i ask what frequency bars you require?
if you're looking at ultra high frequency you'll encounter a problem with something called jitter in systems that can - for very specific reasons - generate the frustrating differences in the data you're seeing even stemming from the same provider.
ugly example: sourcing bars from NASDAQ db itself and taking an exchange member colo'd recorded comparison (i've done this, unfortunately) can create differences of up to ~10% "error" in some of these numbers when looking at every second of a full year's worth of 100 stocks.
even more reason to head off to the pub if you decide to measure sub-second lengths -
richard
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