T6 vs. T1 results

Hi all,

As many of you noticed, when backtesting on T6 history, the results come out ridiculously optimistic versus result using T1 history.

Understanding how T6 simulation works, my question is:
How can one transfer the T6 simulation of the bar to real time trading? i.e. how can we remove much noise that each tick provides and instead make entries the same as they would be made on T6 simulation backtesting but in real time?

Thanks

Good question!
Anyone?

Store the incoming price quotes in a .t1 file, and then convert the .t1 to .t6. This way also FXCM generates the price history used for .t6 files.

Can this be done in real time for live trading?

Yes, but what for do you need a .t6 file in live trading? You have the candle values anyway.

It's for user defined renko bars. It seems to work better on .t6, at least in backtesting.

t6 is with volume data while t1 isn't, right? People may need volume data to calculate some indicators.

I've seen t2 in include/trading.h that is in fact t1 + volume. Can Zorro read t2 files?


typedef struct T2
{
DATE time;
float fPrice;
float fVolume; // negative = bid price
} T2; // quote

T2 is an internal format only, not for import. If you have historical data with volume, it's best to convert it to T6, which can be read directly.

I have futures trade tick data with volume. To convert it to T6 it means I have to make 1 minute bars that is not applicable for my renko type strategy test with volume and velocity.

Does it exist the way to test quote based renko bars with volume using Zorro S?