I have a strategy that I want to backtest using 1 minute bars to compare different buying opportunities throughout the day. It trades 100 symbols roughly. Both IQfeed and alphaadvantage offer 75 hits/api/minute and when using those to backtest it only gathers data for a subset of the 100. What’s the best way to backtest for a larger symbol list on 1 minute bars?
Rename
There is no issue backtesting with either provider. So, whatever the API limit is, you can get the data.
If you're talking about running in the Strategy Monitor once each minute, you can subscribe to 500 symbols for simultaneous streaming with the basic IQFeed subscription, and, you can use Streaming Bars to keep the processing load down.
If it's between IQFeed and AlphaVantage - the choice is IQFeed. More info:
https://www.wealth-lab.com/blog/wealthlab-data-providers
If you're talking about running in the Strategy Monitor once each minute, you can subscribe to 500 symbols for simultaneous streaming with the basic IQFeed subscription, and, you can use Streaming Bars to keep the processing load down.
If it's between IQFeed and AlphaVantage - the choice is IQFeed. More info:
https://www.wealth-lab.com/blog/wealthlab-data-providers
So how does the 75Api limit work with 1-minute bars. Does each 1-minute bar constitute as 1/75 or is that per symbol/day?
For ~$50/month you get 75 hits per minute and no daily limits at Alphavantage:
https://www.alphavantage.co/premium/
https://www.alphavantage.co/premium/
QUOTE:I focused on the "backtest" part, but if you really want to update 100 symbols (and up to 500) every minute throughout the day, IQFeed is the answer, no question. AlphaVantage does not include streaming, so the $50 tier is not a choice to update 100 symbols frequently.
I want to backtest using 1 minute bars to compare different buying opportunities throughout the day
You can also use IB, TDA, Alpaca, and Yahoo for this purpose, for no extra fees or nearly none. Please read the blog I point to before. It's suppose to help guide you to find the right provider for your needs,
I am solely focused on the backtesting part only. Even if I narrow to 75 symbols it seems to still miss data on alpha (using 1 min).
Do you have an AV subscription?
If so, you'll probably need to build your initial histories one symbol at a time. One request won't return the megabytes of data required for 1-minute bars. So each symbol will eat up many requests per minute, initially.
If so, you'll probably need to build your initial histories one symbol at a time. One request won't return the megabytes of data required for 1-minute bars. So each symbol will eat up many requests per minute, initially.
Yes, what's the best way to build them initially one at a time? Running the backtest by each symbol first?
The API doc (https://www.alphavantage.co/documentation/) says that the extended intraday history is only 2 years, returned in chunks one month at a time. The idea would be to collect these 2 years of data (in 24 requests per symbol) and then it would be quick after that.
I'd try running a backtest for the last 2 years with 1 minute bars, and then check the Data Manager for the DataSet's history details for the 1-minute scale. If it looks like data is missing, right click AlphaVantage and select "Clear Internal Request Tracking Info" and then try the backtest/update again. Clearing the request tracking clears the symbol blacklist, which will allow you to request a failed symbol again from a provider.
I'd try running a backtest for the last 2 years with 1 minute bars, and then check the Data Manager for the DataSet's history details for the 1-minute scale. If it looks like data is missing, right click AlphaVantage and select "Clear Internal Request Tracking Info" and then try the backtest/update again. Clearing the request tracking clears the symbol blacklist, which will allow you to request a failed symbol again from a provider.
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