Live data in the test system?

Added by Stefan about 5 years ago

Would it be possible to have live market data fed into the test system continuously? Possibly with some delay? That way, we would have a completely safe way to dry run our algorithms using fake money in the test system before putting the algorithms into production. If I understand the situation correctly, we are currently only able to test our frameworks, but not the trading algorithms themselves.

To test our algorithms right now, we must connect to the live system but avoid placing orders (and do what-if book keeping ourselves). With live data in the test system, your system would need to fake the fulfillment of orders that would have been fulfilled if trading had been real, given the current order depth.


Replies (1)

RE: Live data in the test system? - Added by Nordnet Simon about 5 years ago

Hi,

Stefan wrote:

Would it be possible to have live market data fed into the test system continuously? Possibly with some delay?

This is unfortunately impossible for three reasons.

1) Legal - we don't have the rights to distribute the real time live data to non customers. Anyone can use the test system you don't need to be a Nordnet customer. If this was the only reason we could maybe delay the prices.
2) Technical - we can't connect the test system to the production system. This means both for the actual feed data and we can't add controls to see if test users are real customers (we don't want that anyway we want the testsystem to be open to anyone).
3) Application development - If the feeds and order entry is using different sources the user can't see private entered orders in the public order book in the test system. Developing basic functionality becomes very hard in these cases.

If I understand the situation correctly, we are currently only able to test our frameworks, but not the trading algorithms themselves.

Yes - we can only provide technical tests. Even if you got real prices in the feed you can't test everything - when your algorithm trigger an event from production and you send an order to the test environment and expect a trade the order book in the test system might be empty and you don't get a trade.

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