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EPF backtest data

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  • EPF backtest data

    Hi
    I am wondering if you can please explain a couple of the values of columns in an epf file.
    The example below is from an old euro epf.
    Lines with T are trades, lines with Q are bid/ask I have that much sorted, the 2nd column is obviously the date, I notice that occassionally there are textual notes in the 9th and 10th columns, but the exact value/purpose of the rest I am unsure of.
    What would be the bare minimum values needed to get a tick replay to run correctly (for each or any specific line)?
    Any light you can shed on this would be really useful.
    Many thanks in anticipation.

    ; Symbol=6E #F
    ; Date=02/23/05-03/08/05
    T,050223,000001,1.3261,1,
    Q,050223,000001,1.3261,1.3263,10,4, ,
    Q,050223,000001,1.3261,1.3262,10,1, ,
    Q,050223,000011,1.3261,1.3262,11,1, ,
    Q,050223,000020,1.3261,1.3262,12,1, ,
    Q,050223,000020,1.3261,1.3263,12,5, ,
    Q,050223,000021,1.3261,1.3263,2,5, ,
    Q,050223,000021,1.3261,1.3263,2,4, ,
    Q,050223,000022,1.3261,1.3263,2,5, ,
    Q,050223,000023,1.3261,1.3263,18,5, ,
    Q,050223,000024,1.3261,1.3263,42,5, ,
    Q,050223,000024,1.3261,1.3263,52,5, ,
    Q,050223,000024,1.3261,1.3263,52,4, ,
    Q,050223,000024,1.3262,1.3263,1,4, ,
    Q,050223,000024,1.3262,1.3263,17,4, ,
    Q,050223,000024,1.3262,1.3263,18,4, ,
    Q,050223,000024,1.3262,1.3263,28,4, ,
    Q,050223,000024,1.3262,1.3263,28,3, ,
    Q,050223,000024,1.3262,1.3263,52,3, ,
    Q,050223,000024,1.3262,1.3263,51,4, ,
    Q,050223,000024,1.3262,1.3263,50,4, ,
    Q,050223,000024,1.3262,1.3263,50,5, ,
    Q,050223,000025,1.3262,1.3263,34,5, ,
    Q,050223,000025,1.3262,1.3263,24,5, ,
    Q,050223,000026,1.3262,1.3263,25,5, ,
    Q,050223,000027,1.3262,1.3263,1,5, ,
    T,050223,000027,1.3262,1,
    Q,050223,000027,1.3261,1.3263,11,5, ,
    Q,050223,000027,1.3261,1.3263,10,5, ,
    Q,050223,000027,1.3261,1.3263,11,5, ,

  • #2
    webthatch
    In the lines with Trades (T) the fields are Date, Time, Trade Price, Trade Size, Trade Exchange (if applicable)
    In the lines with Bid/Ask Quotes (Q) they are Date, Time, Bid, Ask, Bid Size, Ask Size, Bid Exchange, Ask Exchange (or contributing bank/broker if Forex).
    In Tick Replay an Advanced Chart will only plot Trades. You can however see the Bid/Ask quotes in the Time and Sales window
    Alex

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    • #3
      data

      Many thanks for your prompt response, its greatly appreciated.
      So to get a successful backtest without bid and ask will I need just the basic 4 - Date, Time, Trade Price, Trade Size?

      Comment


      • #4
        webthatch
        If you want only the Trades in the Tick Replay file then check the Save Trades Only box when requesting the data with the Tick Downloader.
        For back testing just run the Tick Replay to the end of the data file and then run the Back Test on the chart. It does not matter if you have downloaded trades only or trades and quotes.
        Alex

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        • #5
          tick replay files

          It does work fine with just the first 5 sets of data.
          Thanks for your help.
          Last edited by webthatch; 09-27-2006, 05:14 AM.

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