Difference in IQ Feed Historical tick data vs Dukas Copy

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andy4444
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Difference in IQ Feed Historical tick data vs Dukas Copy

Postby andy4444 » 10 Dec 2013

I tried IQ feed, and my backtesting results were completely inackurate.
I backtest eurusd with barmagnifier plus all the boxes ticked to make it as detailed as possible.

I compared the results to those with the historical tickdata of the BID price I downloaded from Dukas Copy.

The 2 were completely different. Not just slightly, but completely different.
However, my results with IQ Feed looked the same way as if I would run the Duks Copy prices without activating bar magnifier.

I am trying to figure out if I'm doing something wrong? Or if IQ Feed is somehow setup incorrectly.

I only used the last 4 months from IQ (those that contain tick data).

If anyone has any idea of why I get these differences, please share your thoughts.

Thanks

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TJ
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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby TJ » 10 Dec 2013

I tried IQ feed, and my backtesting results were completely inackurate.
I backtest eurusd with barmagnifier plus all the boxes ticked to make it as detailed as possible.
I compared the results to those with the historical tickdata of the BID price I downloaded from Dukas Copy.
The 2 were completely different. Not just slightly, but completely different.
However, my results with IQ Feed looked the same way as if I would run the Duks Copy prices without activating bar magnifier.
I am trying to figure out if I'm doing something wrong? Or if IQ Feed is somehow setup incorrectly.
I only used the last 4 months from IQ (those that contain tick data).
If anyone has any idea of why I get these differences, please share your thoughts.
Thanks
What instruments you are testing?

> my backtesting results were completely inackurate.

can you describe you do you mean by inaccurate?

andy4444
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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby andy4444 » 13 Dec 2013

Instrument: eurusd spot. Tick data used to create hourly bars.
All variables in signal uses "intrabar persist". [IntrabarOrderGeneration = True];

When signal is applied to Dukas Copy bid tickdata over let's say 100 trades, WITH bar magnifier it looses money.

When signal is applied to same data, WITHOUT bar magnifier it makes money consistently over time.

When signal is applied to IQ Feed data for same period, WITH bar magnifier it makes money consistently over time more or less equal to the results from Dukas WITHOUT bar magnifier.

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Henry MultiСharts
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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby Henry MultiСharts » 13 Dec 2013

andy4444,

Please send me (support@multicharts.com) the following information for further investigation:
1) What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About);
2) Attach the workspace you are using;
3) in QuoteManager select the symbols you are using, make a right click on any of them->Export data->Export instruments (with data). Send me the Qmd export file for analysis;
4) in PowerLanguage editor->File->Export->export with dependent functions the studies you are backtesting;
5) Please attach a detailed problem description and highlight the problem on the screenshots.

If the file size is >10 mb please upload it to any file sharing hosting and send me the download link.

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MAtricks
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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby MAtricks » 16 Dec 2013

Aside from the issues with the tick by tick tests, know that with the FX market, the data is completely different from source to source and it's... supposed to be like this. You cannot back-test with a data feed other than what your broker supplies you as your live trading data feed.

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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby Xyzzy » 17 Dec 2013

I'll second what MAtricks says. With FX trading, there isn't a centralized exchange like the CME or NYSE that provides a consistent source of trading data. Your data feeds are instead cobbled together from data from various sources. Note that IQFeed has two different feeds for FX spot, and they have different data, since they're based on different sources.

I ran into this same problem. I backtested a strategy that seemed to work really well on one IQFeed feed, did OK on the second feed, and failed miserably on the Interactive Brokers feed. I still have no idea why minor differences in feed data would cause such different results.

The solution I found was to ditch the FX spot market, and instead develop my strategies using the FX futures from CME Group, which seem to move in lockstep with the spot market. That way, you have a single, trustworthy source of trading data, so you should get predictable backtesting results. (Of course, you'd then need to trade any strategies that you developed this way on the futures market, not the spot market.)

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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby StratMan » 22 Dec 2013

I confirm the remarks of MAtricks and Xyzzy, and I would point out that differences also exist in the same broker, when you use data from a demo account or those from a real account ... I'll let you guess which provide better results :-)

Then, with a single data feed from a real account, there are still differences between the "forward" testing obtained by the strategy that runs in real time and the results obtained by Auto Trading on a real account ...

This is the originality of the spot forex market ! Thanks to the brokers ;-)

Just my two cents.

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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby andy4444 » 16 Jan 2014

Thank you for your inputs guys!
I am aware that the prices will differ between brokers, and also depend on which deal the individual client has with the broker, but I was still surprised that the differene was so great even when comparing Dukas (supposedly ECN) and IQ Feeds ABBA feed (supposedly their highest resolution feed)...
Xyzzy. Thanks for the tip about the futures! Any idea where I can dowload a few years of tick-data for the eurusd future in CSV format?
Again, thanks to you all!
Andy

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Re: Difference in IQ Feed Historical tick data vs Dukas Copy

Postby Xyzzy » 17 Jan 2014

Xyzzy. Thanks for the tip about the futures! Any idea where I can dowload a few years of tick-data for the eurusd future in CSV format?
Andy,

I'm afraid I don't offhand. I believe there are some commercial services that sell tick data for the extended time periods you're thinking about, but they are usually quite expensive. (Expect to pay $1000 or more per symbol.)

If your system can work on minute bars instead of tick bars, then any of the "retail" data providers should be able to help you. E.g., IQFeed offers minute data going back roughly five years or more per symbol. You can download historical data with a basic subscription to their service -- no need to pay extra for the real-time quotes. They also offer tick data going back six months (I believe), but that wouldn't be enough data for an extended backtest.


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