The algoseek blog

Notes from the data desk

Quant research, market-data deep dives, and infrastructure engineering from the team behind the feed.

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  • Security Master Data: The Foundation of Backtest Integrity

    Security Master Data: The Foundation of Backtest Integrity

    A backtest can run without a single missing price and still trade the wrong security. The failure often…

    John Lyman Liza

    John Lyman Liza

    John is an Algorithmic Trading Support Engineer at algoseek with a background in algorithmic trading, data analysis, and software development. Passionate about financial markets and technology, he focuses on market data, quantitative research, and helping traders and researchers better understand and utilize financial datasets
    John Lyman Liza

    ·

    6 min read
  • Evaluating Historical Options Data for Backtesting

    Evaluating Historical Options Data for Backtesting

    Options backtests rarely fail loudly. A backtest on bad equity data usually throws up something obviously wrong, such…

    Russel Patalinghog

    Russel Patalinghog

    Russel is a technical communication and digital marketing consultant with 23+ years building documentation systems across fintech, telecom, and SaaS.
    Russel Patalinghog

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    11 min read
  • Mean Reversion vs Momentum and How to Identify Regimes

    Mean Reversion vs Momentum and How to Identify Regimes

    Two behaviors dominate how prices move. In mean reversion a move tends to be given back, so what…

    Abhishek Gupta

    Abhishek Gupta

    Abhishek Gupta is a CFA charterholder working on market data pipelines and algorithmic trading system design, focusing on the data-quality problems that underlie quantitative research.
    Abhishek Gupta

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    10 min read
  • Survivorship Bias in Backtesting: What to Ask a Data Vendor

    Survivorship Bias in Backtesting: What to Ask a Data Vendor

    Asked about survivorship bias, most equity data vendors offer the same reassurance. The delisted companies are in there,…

    Russel Patalinghog

    Russel Patalinghog

    Russel is a technical communication and digital marketing consultant with 23+ years building documentation systems across fintech, telecom, and SaaS.
    Russel Patalinghog

    ·

    10 min read
  • Odd Lots Put Untradeable Prices in Your Minute Bars

    Odd Lots Put Untradeable Prices in Your Minute Bars

    Odd lots and off-exchange prints set the high or low of 59% of one-minute bars since 2014, leaving…

    Daniel Gatto

    Daniel Gatto

    Daniel is a quantitative researcher, software engineer, and published author specializing in market microstructure and algorithmic trading. His research ranks among the top 1% of authors on SSRN by downloads.
    Daniel Gatto

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    8 min read (+ ~1 min to review code)