Tradestation data download and import in SQ
11 replies
andrearh
6 years ago #217959
I can download M1 data from Tradestation, complete with volume data.
But I have the following questions:
– Can I download also tick data from Tradestation, complete with bid/ask prices as done for Dukascopy tick data ? Do you have a procedure for this ?
– In SQ do you use bid/ask prices spread in tick simulations ?
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AndreaRH
tomas262
6 years ago #231045
Hello,
for the TradeStation platform you need to import data for target timeframe only (selected timeframe testing precision only is available). SQ cannot convert M1 data to M30 for TradeStation/MultiCharts/NinjaTrader
andrearh
6 years ago #231053
Tomas,
thank you for your feedback.
So, If I want to create strategies for H1 or M30, I have to download 2 dedicated data set for these timeframes ?
During backtest how can SQ properly backtest if the same bar includes both Target Profit both Stop Loss prices, without M1 or tick data?
Tradestation has the intrabar functionalities: is SQ using the orders placed intrabar, or only orders at bar close ?
I am using SQ 3.8.2, is SQ 4 the same or are you implementing some improvements ?
Thanks and brgds
AndreaRH
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AndreaRH
tomas262
6 years ago #231070
Yes, that is correct.
You need to beware of trades having SL & PT within the same bar. With the selected timeframe precision it would be evaluated incorrectly. That’s why it is important to see SL & PT distant enough
SQ4 should have testing precision improved so it can exploit tick data precision
andrearh
6 years ago #232718
I tried this method, but it is not effective. The strategies created are good in SQ, but the results in Tradestation with intrabar simulation are very negative (they are comparable without intrabar simulation, but the result are not realistic).
I would need to use M1/tick data also in SQ simulations with Tradestation data, otherwise the strategies generated are not reliable. This feature is now included in the last beta of SQ4 ?
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AndreaRH
Mark Fric
6 years ago #232734
SQ4 doesn’t support Tradestation yet, but we will add support for it in one of the new releases. And we will add also realistic intra-bar simulation using tick or minute data – although I’m not sure if you can export long history of tick data from Tradestation.
Mark
StrategyQuant architect
andrearh
6 years ago #232754
Mark,
thank you for your feedback, intradabar simulation at tick or M1 (as you have for Metatrader) would be a great feature for SQ4.
I can confirm you that I already downloaded 20 years of M1, and I am sure I can do the same with tick data. This function will be integrated in beta 9 or in the final release ?
Once included please tell me so I can do some testing.
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AndreaRH
andrearh
5 years ago #232979
Mark,
I have tried to generate some strategies with SQ 3.8.2 using Tradestation backtest engine, using “Trade on Bar Open”, using orders at market (so I don’t need any intrabar simulation).
I can generate some good strategies, but once I apply to tradestation, they don’t work (the equity lines pass from successful in SQ, to money losing strategies in TS).
Is this normal ? Are you aware of this problem, or it is my mistake in some passage ?
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AndreaRH
tomas262
5 years ago #233000
Hello,
as for TradeStation strategies testing you should always use “Selected Timeframe only” in StrategyQuant for the specified timeframe which means you import TradeStation data for M15 timeframe and test using this data. You cannot work with tick data in current version of SQ
The “Trade on Bar Open” system works in a different manner. Here I am quoting the SQ manual:
Trade On Bar Open – In this mode, the system will check for signals and places trades only at the open of a bar. This is valid not only for opening the trade, but also for closing the trade on stop loss or profit target.
If the trade reaches its stop loss or profit target, it is NOT closed immediately at this level, but only at the open of the next bar!
If you’ll use this mode you have to generate a special version of EA that will also trade only on bar open to achieve the same results.
andrearh
5 years ago #233009
Tomas,
I want to clarify that I didn’t use tick data.
I used H1 data and I generated EAs based on “Trade on Bar Open” and “Market Orders”.
The strategy was ok in SQ, with a good equity line. Then I took the Easylanguage program from SQ and put into Tradestation. Using the same H1 data, the result was very bad.
I did this process for different strategies generated using “Trade on Bar Open”.
According to easylanguage code, it should include check of signal to place trade and close trade and stop loss at open of a bar.
But the equity result is dramatically different.
Are you aware of this problem ?
Did you try by yourself ?
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AndreaRH
tomas262
5 years ago #233028
Trade on bar open precision is meant to be used only with MetaTrader4. For TradeStation switch to “selected timeframe”
andrearh
5 years ago #233033
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