Modelling quality / tick data

Historical data comes at different resolutions. Bar data records only open, high, low, close; what happened inside the bar is unknown. Testers can interpolate those gaps (fast, but fictional) or replay genuine tick-by-tick data (slower, but honest).

For strategies where intrabar sequence matters — did price hit the stop or the target first? — interpolated tests can silently invent the answer. MetaTrader's "Every tick based on real ticks" mode exists precisely for this.

Covered in depth in Lesson 04: Backtesting without fooling yourself.

Related terms

Backtest — Running a strategy against historical price data to see how its rules would have behaved in the past.
Slippage — The difference between the price an order requested and the price it actually filled at.

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