Tuesday, August 04, 2009

Backtesting Data feed missing values


It's somewhat frustrating to be backtesting strategies and find that you have tons of holes in your data. From my experience Interactive brokers and TDameritrade are not reliable sources at providing accurate COMPLETE INTRADAY data when using their backfilling services. If your a serious trader I don't think you should be using them for gathering INTRADAY data and testing INTRADAY strategies on. They are fine at providing End of Day data, but I'd much rather use yahoo for EOD stuff.

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