Best Data for me?

[wooly1]

Hi Wooly,

Yep it does. I used to use it with Jose Silvas URSC Toolkit before I switched to AmiBroker.

Why not just sign up for a free trial and see for yourself.

Steve

Thanks for that Steve, yes I'll give the trial a go and get a bit of precision back in my life.
It's funny, I had always assumed the data I was downloading every night was accurate, never occurred to to me it was full of errors, but the ability to scan all the sectors of the ASX/GICS is the real killer application for me.

 

[chrisalex]

In all the the talk about charting applications no one has mentioned
Iguana2. Real-time charts that will blow you out of your chair. Around
$150-$180 per monthly subscription. I have tried most and this is streets
ahead. If I had the turnover this would be the way to go, of course it depends
on what you want
chrisalex

 

[wmorton]

We have a few other little nifty features in the works too... such as historical index constituents.

Richard,

With S&P seemlingly pulling access to their free online index constituent lists (through date filtering function) by way of updating their website, I am keen to know how far off you are with this offering?

I am initially interested in ASX and US indices.

Thanks.

 

[Richard Dale]

Richard,

With S&P seemlingly pulling access to their free online index constituent lists (through date filtering function) by way of updating their website, I am keen to know how far off you are with this offering?

I am initially interested in ASX and US indices.

Thanks.

We'll be looking to do historical index constituents for major indices such as the S&P 500 (1970s) , Russell 1000/2000/3000 (back to 1990), DJIA (back to 1950), NASDAQ 100 (back to inception) on the US front and All Ords (back to 1992), S&P/ASX 20/50/100/200/300 (simulated back to 1992, actual from their inception in 2000) on the ASX front.

We'll implement it as a DLL for software such as AmiBroker where you can simply reference it on a given stock to see if it is an index constituent of a particular index on a particular date.

Given all the work currently ahead of us, I'd say a release date of mid 2010 is possible with testing probably starting in March. It'll also coincide with the next evolution in our data updating software too.

 

[TradeSim]

We'll be looking to do historical index constituents for major indices such as the S&P 500 (1970s) , Russell 1000/2000/3000 (back to 1990), DJIA (back to 1950), NASDAQ 100 (back to inception) on the US front and All Ords (back to 1992), S&P/ASX 20/50/100/200/300 (simulated back to 1992, actual from their inception in 2000) on the ASX front.

We'll implement it as a DLL for software such as AmiBroker where you can simply reference it on a given stock to see if it is an index constituent of a particular index on a particular date.

Given all the work currently ahead of us, I'd say a release date of mid 2010 is possible with testing probably starting in March. It'll also coincide with the next evolution in our data updating software too.

For those using TradeSim and Premium data, you can do survivorship bias free back testing with filter tables available from http://www.tradingbacktest.com.au/

I am not affiliated with this company except that I know they painstakingly constructed the ASX20,50,100,200,300,All ords, tables from scratch so I reckon they are worth a plug.

For those using TradeSim Pro or Enterprise with Amibroker or BullCharts you can still do survivorship bias free back testing, post trade database generation using these tables.

regards
david

 

[Wysiwyg]

WYSIWYG,

If you are interested in proper ACCURATE data. There is only one place to go. That is Premium Data. You will NOT be disappointed. Any issues you may have will be dealt with promptly (If you have any at all).

You just cannot use free data if you are serious because of all the inaccuracies that Richard mentioned.

Steve

Too right there. I tried to get some answers from Interactive Data Corporation which has a subsidiary called Comstock supplying data to Yahoo. I sent the e-mail enquiry asking why they don't adjust the data they disseminate world wide. I now notice they are skipping days completely. Probably upset the ignorant skirts. :cwm10:

 

[sleepy]

Hi Richard,

Is their any reason why premium data does not have UK EOD data and is this likely to change in the near future?

sleepy

 

[Richard Dale]

Hi Sleepy,

We attempted to do UK data few years back and found many many issues with the data feeds available.

This issues arose because the LSE has multiple trading environments. Some are market maker driven, some are electronic order book (just like the ASX) and some are hybrid systems. In our eyes, all valid _trades_ should be considered. However, many data feeds (including the LSE) used the mid-point of the bid-ask spread as data points. Because of this issue, if you looked at 7 data vendors you got 7 different answers as to the OHLC for each day. Another issue is related to delayed trade reporting. At the time market makers were able to report trades performed up to TWO HOURS later. So you had some data feeds that included this data and some that didn't. We spent about 3 man-months on the exercise and about $15000 in data feed fees, so we didn't take the decision lightly to ditch the project.

It might be something we revisit again in the future but for now we only look to cover markets that we can be confident of providing a premium quality product.

Coming up next is South Africa (Johannesberg Stock Exchange) and Canada with possibly India to follow.

And also a new updating software will be released... To put it in perspective, a US update just took 13 seconds to update two days of data with the new platform. On our current platform it takes about 8-10 minutes per day.

 

[SmellyTerror]

Sorry for what might be a question-already-answered (I've searched, but it's been a long shift, and I'm getting blurry):

I'm after ASX historical data, with intraday detail down to at least the one-minute mark, smaller if possible. I'm happy for reasonably old stuff, reasonably messy, and don't especially need a very long time frame (so, for example, 6 months of unadjusted data from early 2007 would do fine). Oh, and I need it to be AmiBroker compatible, because I'm a scrub.

Any ideas?

Mr Dale, does the PD $90 ASX historical pack give intraday, or only EOD? Because although crap data will do right now, it would be very nice to have good stuff down the track.

 

[Richard Dale]

Mr Dale, does the PD $90 ASX historical pack give intraday, or only EOD? Because although crap data will do right now, it would be very nice to have good stuff down the track.

Our data is daily data only. We don't provide intraday data time periods at all.

In general we find that most successful private traders tell us they don't actually need intraday period (eg. 5 min) data. Certainly not on the ASX where most stocks are quite illiquid intraday. However, this is where careful and methodical system development and testing will tell you where your edge actually exists.

Intraday trading also needs to be examined with the availability of data feeds for the X symbols you want to monitor simultaneously. For example, if your trading system wants to use "All ASX Equities" (i.e. over 2000 securities) on a real-time basis you had better check that data feeds are available to do this are also avalable/economical.

 

[SmellyTerror]

Yeah, I figured 90 bucks for a stupendous amount of data was a bit optimisitic.

And EOD is fine for what I'm doing now, and also fine for most of what I'm trying to do, but I also want to potter around with some ideas I've got for some day-trading shennanigans. Hence my lack of requirement for anything that's actually any good - I doubt this stuff I'm doing now will amount to anything, so I don't want to pay a lot until I have more to go on. I think I can hit up IB for a couple of months, anyway.

Thanks for the quick reply.

 

[MS+Tradesim]

Our data is daily data only. We don't provide intraday data time periods at all. <snip> However, this is where careful and methodical system development and testing will tell you where your edge actually exists.

Unfortunately, this is where I was forced to go with Paritech for the ASX. Two of my systems rely on a 3pm snapshot.

 

[Richard Dale]

Unfortunately, this is where I was forced to go with Paritech for the ASX. Two of my systems rely on a 3pm snapshot.

Actually we do offer hourly snapshots for a small additional fee - i.e. cumulative daily OHLCV, snapshotted on the hour every hour the market is open, and available on a 20 minute delay thereafter. eg. 11:00 snapshot available at 11:20, 12:00 snapshotshot available at 12:20.

We don't offer intraday data periods (sub 1 day) - eg. 5 minute periods. Our data is 1 day time period only.

 

[MS+Tradesim]

Thanks Richard. I must have missed that so I'll have another look. I must confess that these days I'm a satisfied Paritech customer and would need a reason to switch but I have used your futures data and am happy with that.

I think my prior post came across as a bit 'complaining' and I was about to edit it but your reply beat me. I do apologise if it appeared that way because that was not my intent.

I only have respect for people like yourself and Tradesim who are offering your own quality products and services to the trading community.

 

[akkopower]

Hey guys,

Does anyone know who offers data in the form of a matlab .m file. I dont use Excel (open office) so i cant use the "xlsread" Fn.

Or alternatively does anyone know if i can automatically load data from open office.calc into Matlab. By automatically i mean in a manner similar to the "xlsread" Fn.

Thanks

 

[Timmy]

Does anyone know who offers data in the form of a matlab .m file. I dont use Excel (open office) so i cant use the "xlsread" Fn.

Akko - apologies in advance if this is a stupid suggestion, or one you have already tried. When using Open Office can files be saved as Excel format (with an .xls)? Would using Open Office in this way be of any help?

 

[akkopower]

Akko - apologies in advance if this is a stupid suggestion, or one you have already tried. When using Open Office can files be saved as Excel format (with an .xls)? Would using Open Office in this way be of any help?

Yes it can be. But I only have a read only version of mircosoft office. Maybe I should try to download a free version of MS office. A big problem is the time taken when using the Matlab "xlsread" Fn.

 

[Superboot]

Hi all,

I am considering purchasing ASX EOD data and use Amibroker. I am keen to understand how others upload the data each night into Amibroker. The 2 options I am considering are Paritech and PD (I have historical data from Paritech)

The impression I get is both ooptions require a separate application to download the data. You then need to manually import the most recent data set into Amibroker. Can this not be done direct from Amibroker? Also what happens if if 1-2 days of data are missed?

Thanks in advance
S

 

[Richard Dale]

The impression I get is both ooptions require a separate application to download the data. You then need to manually import the most recent data set into Amibroker. Can this not be done direct from Amibroker?

The way Premium Data is setup is that we provide you with an AmiBroker environment that reads our data directly. There is no need to manually import anything into AmiBroker. However, periodically, you must run an integration script within AB to ensure your symbols/names are fully maintained within AB.

Also what happens if if 1-2 days of data are missed?

Nothing exciting. You click the Update button in our downloading program which downloads any new data since you previously updated, then start AmiBroker. Indeed, you could go weeks/months between clicking Update. and it would still be OK.

Premium Data has a free trial here:
http://www.premiumdata.net/products/premiumdata/freetrial.php

Be sure to evaluate all of the other nice things available within AmiBroker too - fully maintained watchlists, sectors, security classifications etc.

If you decide to subscribe, please also make mention that you have historical data from another provider so we can provide you with a special offer.

 

[Superboot]

Hi Richard,

Many thanks for your quick response!

Glad to hear no manual imports are required - that is very appealing, as is not having to determine how many days I may have missed.

Will give the trial a crack

Thanks again.