Any help answering the following would be greatly appreciated.
1.) For backtesting intraday stategies, I assumed you need historical data with minute closes. Is this correct?
2.) Having data with detail down to the minute must result in some fairly large files? Does this mean backtesting can take a very long time to process depending on the time range and complexity of the strategy?
3.) Is it easy to obtain historical data cheaply, or do you have to have a data feed or account (for example with IB) to be able to access the required data for effective backtesting?
4.) When running a backtest for intraday strategies, how accurate will would the results be with the exact data, but real time... liquidity problems, orders not filling in time etc.
Basically my situation is; I have downloaded ninja trader and would like to start designing systems, however I really don't know where to start with obtaining the data. To be honest it is a bit daunting as a complete beginner.
If it comes down to having to buy that data I am ok with that, but what kind of costs would I be looking at?