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Please consider the following example:
DTN Feed_IBM 60min_Stochastic Crossover
A crossover buy is generated using DTN data.
Quote.com Feed_IBM 60min_Stochastic No Crossover
No crossover in Quote.com data using same stochastic parameters.
What do you do? Both feeds have been working fine all day and tick counts
are within 95% of each other but obviously there is a discrepancy in the
data between the two feds. Its very hard to get to independent feed to match
data exactly, especially on the lower time frames.
Since no two feed are the same does it make sence to test systems on one
data source and trade it using another. No matter how reliable your data
source is for historical data there is no guarantee that your real time data
matches the intrinsic characteristics of your historical data source. Infact
most often the performances will NOT be the same for the same system. This
highly limits the type of systems that can be traded in real-time and tested
historically. SO BE AFRAID!!!
This data problem has been bugging me for a long time and unless you have
direct feeds from exchanges and full control over the data distribution and
filtering process you may be trading based on artificially adjusted data.
So where do you draw the line.
All comments appreciated. Thanks
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