Amibroker and live ASX data

[lgmqy2000]

Hi there, i am subscribed to live ASX data from esignal to feed into my AB charting package. Happy with the data quality and backfill support etc, but one thing that frustrates me is esignal puts on a limit on the number of stocks i could stream when doing an intraday scan....so my workaround at the moment is having separate EOD database, so i scan the daily chart first locally to narrow down my range, then switch to the esignal database and do live scan against stocks in this watchlist.

Just wondering if anyone knows a data provider that supports intraday backfill, also not putting a limit on the number of stocks i could scan intraday....or a workaround that is more efficient than what i have.

Thanks in advance.
Tony

 

[youngeagle]

I too am trying to find a suitable ASX data feed into Amibroker or NinjaTrader, or any decent charting software.

Requirements:
Real time intraday data
Level 2 market depth
30-60 day intraday backfill
Full historical daily backfill


I believe IB data would not fit these requirements.

Is there anybody that supplies the equivalent feed of iguana spark, or iress (with longer intraday backfill) or Phoenix etc. , but fully compatible with data neautral platforms?

Thanks in advance.

 

[howardbandy]

Greetings --

When you are choosing a real-time data vendor, you will have to consider two issues.

One. Your system development database should be the same as your execution database. If you will be executing using a feed from Interactive Brokers into AmiBroker, the ideal would be for your historical database to have come from IB.

Two. Neither IB, nor any other broker, has data distribution as their primary business. When resources -- computer speed, communications bandwidth, staff hours -- are limited, they will and do edit and reduce the data stream by removing some quotations and trades. A historical database built using this data will have gaps and inconsistencies. There is no way to determine what was left out.

I resolve the conflict and manage the process this way --

I use a real-time datafeed from DTNIQ, whose business is data distribution, to build and maintain my historical intra-day database. System development is done using this data. (I use Norgate Premium Data for end-of-day data. I maintain separate real-time and end-of-day databases.)

When trading, I have two windows open -- one is AmiBroker with the trading system code being fed live data from DTNIQ; the second is my broker's trading screen being fed from their real-time feed. AmiBroker displays the chart; the broker's screen only shows a table of prices. Both are updated tick by tick. When AmiBroker generates a signal based on the DTNIQ feed, I verify that the two datafeeds agree on the price, then I place the trade manually using the broker's trading screen.

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If you are using a broker that provides their own trading system development platform and is also a data distributor (TradeStation, for example), and you are satisfied with their development platform and brokerage and trust their data, you can do everything with the single data source / development platform / brokerage.


Best regards,
Howard

 

[youngeagle]

Thanks Howard for that insight.

I have taken a look at IQ feed, and was of the opinion they did not supply data for ASX equities, certainly not level 2.

I am looking into realtick.com to see what coverage they have of the ASX.

May I ask, why do you maintain separate data bases for intra and EOD?


Can anyone else suggest a real time ASX feed into Amibroker or similar charting package?

Many thanks.

 

[howardbandy]

Hi Youngeagle --

I can't comment about which data series available from DTNIQ. All my trades are (at the present time) in the US.

Google has (free) one minute bars for US stocks useful for historical testing -- but not Level 2. Do they have any data that is useful to you? (The normal warnings about the reliability of free data, and responsibility the user has for data maintenance, apply.)

Are you thinking of gathering and using historical bid and ask for system development? To what depth? With what time precision? The complexity of both the database and the trading system development platform needed to use that is mind boggling? It will put you very close to the arena of, and in competition with, high frequency traders. If you are not going to use bid/ask for system development, what do you gain by having them in AmiBroker? AmiBroker already has the real-time quote window. Does that help? Is having the current listing of Level 2 quotes available on a broker's screen adequate?

----------------

Please post your findings as you research what sources are available for intra-day data for the markets you plan to trade.

----------------

It is possible to have a single AmiBroker database that has both intra-day and end-of-day data. Tests I have done with a combined data base were successful. But I do not combine them for my production databases.

Reasons why I do not combine them:
1. I keep them separate to reduce the risk that updates made by either will corrupt the database.
2. I can use AmiBroker's timeframe functions to form daily bars from the intra-day bars when I want to use a combination of time frames.
3. The end-of-day database spans a longer historical time period than the intra-day database, which limits doing anything that combines intra-day with end-of-day to the beginning of the intra-day data, so having a combined database does not add capability over having two separate databases.

Best regards,
Howard

 

[youngeagle]

Thanks Howard,


For now, My main desire in a platform, above decent chart drawing features and watchlist/scanner requirements, is to have a solid Bar replay function that controls multi time frames. This way I can step through historical daily charts, look for a set up, then step through the following intraday bars timing an entry, staying out of the trade if price action doesn't confirm, entering if I see fit based on intraday price action. Stepping through charts at that level would replicate my discretionary system much closer than simply stepping through a daily and placing buy/sells on the chart before I see the following days trading and open. As I would be doing in real time.

I could use price bars and do away with market depth. It's just that I was trying to find a charting & data solution that I could use in combination with a discount broker, which mostly offer minimal intraday history and minimal market depth. This way I could do away with the Comsec/etrade iress platform which I find inadequate when compared to Metastock, Pro real time, multicharts & Amibroker etc.



So I don't require the market depth for system testing, more so live trading. If I have to, I guess I will need to use a combination of products.

Thanks for the help. I'll look into the google option, and I guess if I broaden my search to delayed intraday level 1, I might find a workable solution, separating after hours testing requirements to live trading.

 

[frugal.rock]

7 years too late...? any chance you can come back Dr Bandy?
Cheers.