Preparing Tick Data for Cross-Market Spread Backtesting

Summary

This forum exchange concerns tick-level backtesting of a spread between a cash bond instrument and a futures contract. The questioner has externally downloaded tick data in CSV form because the data source lacks cash-bond ticks, and asks how to import and load those histories when they cannot record data through a connected brokerage account. The two feeds arrive at different frequencies, and the question includes possible issues with database fields and timestamp precision.

The reply recommends loading the CSV data, constructing synchronized spread ticks from the cash and futures series, and saving those derived records to the database. The final answer clarifies that the historical data to load should be the spread ticks themselves. The exchange gives no conversion procedure, synchronization rules, code, or backtest results, so implementation details such as aligning timestamps and handling unmatched observations remain open.

Key ideas

• The use case is tick-level spread backtesting across cash bond and futures data.
• The source data may come from external CSV downloads when brokerage recording is unavailable.
• The forum reply says to construct spread tick records and store those in the database.
• The discussion does not specify how to synchronize feeds with different tick frequencies.
• No code or backtest results are provided.

Tags

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