Diagnosing Missing Tick Data in VeighNa Spread Backtests

Summary

A user reports that a VeighNa spread backtest loads no data after changing an example notebook from bar mode to tick mode. The database’s tick overview shows records for both futures legs, but debugging finds no rows when the SQLite query filters by a leg’s symbol. The user asks whether tick spread data must be synthesized in advance.

The post documents a data-loading troubleshooting question, not a confirmed fix or a complete backtesting method. It highlights a useful distinction: tick records can exist in the database while the spread engine’s query still returns nothing. The provided evidence is limited to two contract data ranges and counts, plus the observed empty symbol-filtered query. It does not establish the cause, whether precomputed spread ticks are required, or how to resolve the issue.

Key ideas

• Tick records can appear in a database overview even when the spread engine retrieves no rows.
• The reported failure occurs when SQLite filters tick data by a leg’s symbol.
• The post gives no confirmed explanation or remedy for the empty query.
• Whether spread ticks need to be synthesized in advance remains an open question.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.