I'm going to write a trading simulator

to test the trading setups that I find out there, starting from the one mentioned in my previous post.

Of course, the first thing to do is to get the market data. Price-bar market data, that is data containg only time, open, high, low, close and possibly volume, are inadequate for testing setups, the reason being that they do not specify if the high of a bar comes before or after the low, making any simulation ambiguous.

I need tick data, containing a time ordered sequence of prices of individual transactions. Anyone can download these data for free from dacharts.

These type of files does not contain prices but offsets, that is price differences between consecutive transactions.

I wrote a small python script that takes the name of one of such files as an argument and spit out a comma-delimited list of one minute price-bars:

bars.py

The offset hashmap will have to be extended to include all possible offsets. Other than that I have here the basic price stream code for my simulator.

Categories: trading simulator