Ask HN: How do algotraders backtest

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Would like to know where do algo trading firms / quants / 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?

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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).

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