Backtesting techniques using tick data?

<p id="isPasted">If someone has built an awesome tick-level backtesting product, I would very much love to hear of it. So far however, in my experience, I have always ended up building a custom solution.</p><p>The main reason being that at that level you are very concerned with market microstructure. Any backtesting, simulation, etc. is going to involve plenty of assumptions about how the market behaves (which in turn could make or break an algo). And the only way I feel confident that I understand all those assumptions is to build it from scratch.</p><p>If you're writing an algo that operates at the tick level then you'd better have a good understanding of the microstructure of the market you're trading in anyway, so it shouldn't be a particularly big jump to roll your own, even if it is a chunk of work.</p>