
Ask HN: How do algotraders backtest - quietthrow
Would like to know where do algo trading firms &#x2F; quants &#x2F; prop desks find the dataset to backrest your strategy? Is it common to use a commercial service or does these organizations use their own data that they have collected over the years?
======
anonytrary
I would imagine the best thing to do is to own a sizable exchange and save all
of the order data (submitted orders, cancelled orders, fulfilled orders,
etc.). Getting second-hand data sets with coarse-grained information (like
price per second) is going to vastly limit how effective your bot can be
(since, for example, price per unit time is not raw data).

