How FMZ Simulates Tick Data from Candlestick Bars
Summary
FMZ’s simulation level backtest polls a strategy at intervals and synthesizes ticker updates from underlying candlestick data. This lets strategies that react to ticker changes run in a backtest, while a real market level backtest uses recorded ticker data instead. The document explains that the simulated path is interpolated from each bar’s open, high, low, and close values, and outlines the algorithm’s different cases for choosing intermediate prices and allocating volume.
The generated sequence is an approximation: the underlying bars do not reveal the true order or timing of prices within each period, so synthesized tickers can contain price jumps and should not be treated as recorded market behavior. The chosen base bar period also matters. It should be shorter than the period of bars requested by the strategy, or the limited number of generated tickers can distort those larger-period bars. The document describes the mechanism but provides no validation comparing its simulated paths with actual market ticks.
Key ideas
- Simulation level backtests derive synthetic ticker updates from underlying OHLC bars.
- Real market level backtests use recorded ticker data rather than interpolated prices.
- The interpolation algorithm selects price points and volume allocations based on each bar’s OHLC shape.
- Synthetic tick sequences can jump and cannot recover the true intrabar price path.
- The base bar period should be shorter than the bar period requested by the strategy.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.