Storing different bar frequencies about qtpylib HOT 3 CLOSED

Short answer: All market data is constructed, based on IB's tick data.

Longer answer: The blotter stores IB "tick" data as the come in, and aggregates that data as 1-minute bars to be stored in the database.

When back-testing, the historical data is being pulled from the database. Currently, you cannot backtest using csv files for historical data - but I will be introducing a mechanism for automatic backfill of historical data, as suggested in issue #2, in the very near future.

For all time-based resolutions/frequencies larger than 1 minute are constructed from the 1-minute bars in the bars table, while all resolutions (second, tick, and volume) are constructed from previously stored tick data in the ticks table.

When live-trading, OHLC bars are being constructed in real-time from IB's tick data, based on the strategy's resolution.

I hope this makes sense :)
Ran

from qtpylib.

@ranaroussi, while I understand the motivation behind using the lowest common denominator and basing all computations off of that, the breadth of changes in each instrument is not reported to end user tools (for any broker). The range of bars you get when subscribing to bar data will be larger than the range you will see in ticks. For a library like this, it really is preferrable to base larger time period computations off of bars computed at the source rather than the subset of data TWS has visibility into. See Issue #111 for an example.

from qtpylib.

Closing this issue for now

from qtpylib.