Auditing Tick Data Quality and Tick-to-Bar Consistency for Backtests
Summary
The document describes a MetaTrader tool for checking whether stored market ticks are reliable inputs to real-tick backtests. It counts invalid or crossed quotes, timestamp anomalies, sharp one-tick reversals relative to median spread, gaps compared with broker quote sessions, and disagreements between tick extremes and one-minute bars. Findings are timestamped and written to CSV so users can inspect individual cases. An example audit covers several forex, gold, and bitcoin symbols, and the article describes an independent recount of most reported fields.
The example finds session-table gaps and large reversals around scheduled US releases, while the tested tick extremes match the one-minute bars. These observations illustrate how a backtest may depend on individual ticks and how broker session declarations can differ from observed quoting. The tool does not decide whether a reversal is a bad print or a genuine market move. Its results describe only the history held by that terminal; they may change after refresh, and one timestamp check and Last-price chart mode were not independently verified in the example.
Key ideas
- Tick-based backtests replay quote sequences, so candle summaries can hide price movements that trigger stops.
- The auditor checks quote validity, timestamp order, spread-scaled reversals, session gaps, and tick-to-one-minute-bar agreement.
- It records findings with timestamps so users can recount and inspect the underlying cases.
- In the reported sample, some session gaps and sharp reversals appeared, while tick extremes matched the bars.
- A reversal is a pattern to investigate, not proof of a faulty quote, and results depend on locally stored history.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.