First I noticed that there were differences in the backtested results of my strategies when I collected the data from IB into the HDM and from backtesting on historical data that I download direct from the IB history servers.
I asked IB what they do to create the 1 mins bars that they provide as historical data and this is what they replied:
So it looks like NinjaTrader has a more logical and efficient algorithm for collecting the data from the live stream. Would you care to share?
My second question is whether the HDM merges live feeds into the HDM when there is more than one available. At this time I have the feed from IB, and another from IQ-Feed.
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