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Trying to implement trading system based on 1 second bars.

Posted By xpistos 2 Years Ago

Trying to implement trading system based on 1 second bars.

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W00t Posted Saturday May 30 2015
Trying to download data on 1 second intervals from Interactive Brokers.  I added  1 Second to frequencies but does not show up in list of frequencies when adding symbols.
Help is greatly appreciated.  I am porting trading systems from Tradestation.  
Posted Sunday May 31 2015
Hi,

Frequencies with bar lengths below one minute aren't well supported by RightEdge.  We made the unfortunate decision long ago to represent frequencies using an integer to represent the length of the bar in minutes.  Today, frequencies themselves support an arbitrary bar length, but the data store still uses the number of minutes to represent the bar frequency, so it doesn't support sub-minute bars.

To get 1 second bars for a backtest you would need to use tick data as your data source.  Then you can set the system frequency to 1 second and it will aggregate it for you.

Thanks,
Daniel


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