Allow testing of custom tick data
01 Sep 2014, 23:41
You could enable us to select a file like the 1m backtest data, but that isn't scaleable. A better feature would be if you can provide us with a lower level hook into the historical data feed.
I dream of something like this:
interface CustomDataSource {
IEnumerable<cAlgoTick> FetchTickData()
}
// Then on our robot, we can implement this interface to pull in any custom data we need.
public class MyRobot : Robot, CustomDataSource {
public override void OnTick(){
// Custom tick data comes in through here and the rest of the platform works as usual
}
public IEnumerable<cAlgoTick> FetchTickData(){
// load from tick data files, stream from socket, pull from redis, whatever..
yield return new cAlgoTick();
}
}
http://msdn.microsoft.com/en-us/library/9k7k7cf0.aspx
A system like this would be very flexible. You could even allow us to provide databars (MarketSeries) in a similar fashion.

Spotware
02 Sep 2014, 09:50
Thank you for your idea. We will consider it. Currently we plan to provide an ability to load tick data from a CSV file.
@Spotware