Hi Veera,
Data feed mismatches are a serious issue, and my experience is that none of the data feeds are accurate. For my trading and backtesting, I find GDFL data satisfactory, though with some issues every now and them. If GDFL is down, I directly read the Nest data feed in the VWAP Ststistics window (Ctrl+Shift+H in Nest). Very rarely, I use the Nest Plus chart... whenever I keep Nest Plus open for a long time, my Nest crashes. None of the feeds are totally accurate, and each one of them misses not only ticks but also a few major spikes.
Given this scenario, I don't think that we should be spending too much time designing systems that are too dependent on historical/accurate data feeds.
I am not sure if I am answering your question at all.... but here's what I would suggest.
Focus on the robustness of the system. Try to avoid systems whose overall performance that could be affected by a missing ticks.
I do not know your trading systems, but here are a few points that can be used to build robustness....
- Higher time frame
- Fewer trades
- Consistent logical setups - for example opening range breakouts, pivot points.
- More data points
- Higher win rate, so that the performance is not dependent on rare wins
Off course, none of the above points may be applicable or relevant to your specific system.
Another reason to be not dependent on tick data, is that ticks are very fickle. Check the charts of the Nifty Index and the Futures - November, December, January and even the Puts and Calls. There is a definite correlation between all of them, but you will see a breakdown in the correlation in some ticks. You will frequently see a spike in one of the futures or index or options, that is not visible on the others. Your test might succeed on one of them, but fail on others.
Live trading results will always differ from paper trading, especially in scrips with low volume, due to slippages, not getting fills, or just errors in execution. In live trading, our orders and trades, are data that was missing in the backtest data, right?
I have written a long story, but am not sure if it has answered your question, or is even helpful to you