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First of all, warm hello to all. I am newbie and i admit it, but with at least 15+ years of exp in C++. Working in IB - derivatives mainly, but unfortunately on the business side not trading at all. Got interested in Quant trading very much.

Intro: I am learning very hard to understand the basics of quant trading currently building my first out of 2 applications. The Feeder - which generally speaking retrieves tick data (OHLC, price and volume) from Bitcoin Exchanges with a resolution of 1 minute (queries the markets every minute and stores the tick values in the database). No place to mention theory i read about in books and blogs.

Question: Is it enough to get the tick values from exchanges to be able to backtest strategies ? Should i consider downloading orderbooks too?

Reason: I am interested in backtesting and eventually quant trading Bitcoins, no options, futures or any derivatives. I understand BTC markets as FX.

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Whether to store L1 (trades/BBO only), OHLC and order book depends on your downstream application. I encourage you to start with L1 (easy to store) and then think about what to do as your use cases evolve. If your trading strategy only uses trade prices, then you are fine with L1. And OHLC can be backed out from L1.

It is very tempting to store more data than you actually need and overoptimize your data infrastructure and get lost in shifting objectives, and in my experience it gets overly time-consuming.

Lastly, FX and Bitcoin are very different markets. I would encourage you think carefully about this assumption.

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  • $\begingroup$ Thank you for the answer that cleanly desribes what should i focus on. And additional thanks for underlining the FX vs Bitcoin markets, i think i have to dig deeper to find out what exactly is a BTC market. $\endgroup$ – PeeS Jul 24 '15 at 20:54

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