Why do I need all this?

Well, actually you don’t. Of course, you can just quickly download unclear historical price data from an unknown source, develop a model using tools you don’t fully understand and optimize it using this data, connect to an unknown broker and start trading. The question is: will this trading be successful? Most likely not.

If you read this chapter carefully, you’ll most likely already understand why.

Firstly, when you plan to use certain historical price data for your models you should realize what exactly you are going to use: whether it’s last trade, bid, ask, or both, or anything else. You should check if historical data contains correct timestamps and that no tick is dated earlier than the preceding one. You may want to make sure the data you use contains information about trading volume – otherwise, you won’t be able to develop a wide range of trading strategies. You should make sure that data is clean and...