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Tick Simulation Help

Posted By lucent 4 Years Ago
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Posted Friday July 12 2013
I am trying to run a simulation from tick data. As shown in the attached image, RE locks at the first tick with BarFrequency.Tick. It will process the ticks with BarFrequency.OneMinute Thanks.

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Edited: Saturday July 13 2013 by lucent
phg
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Posted Saturday July 13 2013
I'm mystified but : How many symbols in your watchlist? About how many bars in the historical database? What is the number of lead bars? (I gather NewBar never executes? Nor StartUp?)
Forget that. That won't help.

-Pete

See also Yahoo group about applying RE.


Edited: Saturday July 13 2013 by phg
Posted Saturday July 13 2013
There are 10 symbols. All have a couple hours of tick data. A couple have a day of 1-minute bars. I am simulating 2 symbols, 1 with tick and bar data. I only have a NewTick event (not the override), no NewBar. No lead bars. Startup executes.
phg
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Posted Saturday July 13 2013
I'm not going to be much help as I have not run a tick-level simulation. However, I notice a trading system property to enable tick-level simulation. Also, since both tick and bar information is available in the data store for some symbols, I wonder if that has created some confusion?

Hopefully someone who has successfully run a simulation on tick data can chime in here . . .

-Pete

See also Yahoo group about applying RE.

Posted Thursday July 18 2013
You need to enable tick-level simulation to get NewBar to fire.
Posted Friday July 19 2013
Sorry for the confusion - you should not set BarFrequency to Tick. Where did you have the option to do that? The frequency chooser in the system properties doesn't have that as an option.

Set "Tick-level Simulation" to true in the system properties, and then you can override the NewTick method in your system and put your tick logic there.

Thanks,
Daniel


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