Noob Intraday Data Questions

[AMSH]

Hi All,

I've been trading EOD for the last couple of years and I'm just starting to play with intra-day trading; I've got the trading side of things ready to go, I'm just a little clueless with regards to the administrative side of things - specifically dealing with the data feed as it comes from the supplier. I trade using IB, so I've got access to live data if I want it, but only on-demand; in other words, I've got to go and specifically call up a stock to check it's intra-day activity.

What I'm after is a similar setup to my EOD supplier (I use Paritech), where my entire database is updated in one go - then I can feed that data into Amibroker and run whatever custom exploration I want. I've been asking questions of the data providers, but I get really ****ty, basic responses. I get the feeling retail investors generally aren't where the money's at. Anyway, I was hoping some of the guys and gals on here could save me many many hours of scouring the interwebs and answer a couple of questions for me.

1. Does intraday data come from the supplier in some minimum periodicity (1 minute bars for example) and then you alter the level of focus in your QA software, or do you have to specify what level of periodicity (1 min, 5 min, hourly etc) that you want from them?

2. If you do specify the level of focus, do you pay more for a higher level (tick data must be higher than hourly I'd assume)?

3. Is it possible to update the entire database in one go, in a similar manner to EOD and then run your own custom explorations on that data using Amibroker or Metastock for example? As opposed to the on-demand style whereby you can see intra-day activity but only as you search it out.

Ideally, I'd like to update all of my data five mins before the close and treat the OHCLV values as if they were the values for the entire day, then run some explorers to identify patterns that I've defined previously and trade the close based on those patterns. In other words, I'd be using the current bar's OHCLV values 5 mins before the close as if they were EOD data, identifying some candidates and then manually trading the close as it happened.

4. Has anybody used this approach before, and if so, how did you go about it? Have you found any specific data suppliers who have products that suit this style of trading?

Any input would be greatly appreciated.

Cheers,

AMSH

 

[CanOz]

Re: Noob Intra-day Data Questions

It's been a while since I used IB data with Amibroker but I can tell you that the data is aggregated tick data for whatever symbol you request. Amibroker has plenty of help docs on setting this up. You'll need to setup a watch list if you want a list of symbols updated in real time. Once you request a symbol, the data will stream into amibroker as long as that symbol is on your chart. You choose the interval, 1m, 5m etc.

Premium Data can provide intraday snapshots for some idea where an issue will close, contact them for more detail on this. Www.premiumdata.net and Richard Dale will have someone help you, great support. The could be what you are looking for unless you're looking to trade intraday. In my view amibroker is a fine EOD piece of kit, but not ideal for intraday play.

Cheers,


CanOz

 

[tech/a]

Re: Noob Intra-day Data Questions

Don't know of any supplier who would do that.

Historic data is I'm pretty sure bundled once a day not on demand.

 

[AMSH]

Re: Noob Intra-day Data Questions

Thanks for the responses.

Canoz, I tried Premium data and I'm still waiting to hear back on a couple of things, but I seem to be getting single line replies. The same from Paritech who I'm currently a customer of. Backfilling from IB doesn't work for me as I don't want to have to request data on specific stocks, I want data for every stock in one go. And amibroker will be fine for what I'm trying to do, if I can just get the data side of things sorted - it's not strictly intraday, I just want to be able to trade the close the way I want to.

I don't care if I've got to get a full out intra day data feed (I don't care about the cost), I just want to able to download data for all stocks in one go instead of requesting data stock-by-stock and backfilling or whatever. In other words, I don't want to have to request data for stocks A through C, I want a download of all intraday data for every stock from A through Z.

Surely somebody's got to have a product along these lines? If not, does that just mean that very few people use QA to enter on the close? Logically, if you can't get data like this, you can't scan the entire market for your signals, you've just got to use a smallish watchlist and do everything manually.....

Thanks again for the input.

AMSH.

 

[tech/a]

Re: Noob Intra-day Data Questions

The duck is obviously invisible.

Surely somebody's got to have a product along these lines? If not, does that just mean that very few people use QA to enter on the close? Logically, if you can't get data like this, you can't scan the entire market for your signals, you've just got to use a smallish watchlist and do everything manually.....

+

Historic data is I'm pretty sure bundled once a day not on demand.

.

Regardless of timeframe. Tick through daily----

 

[Gringotts Bank]

Re: Noob Intra-day Data Questions

AMSH, plenty of data providers give snapshot data, but not at 5 mins before close.

Try this:
Run your AB system with buy at next day's open, but using a buyprice of previous day's close. Make sure you have price bound checking enabled - this will ensure you catch the dip if it happens. You might even gain a few % points, depending on your strategy. If it works, just use EOD data and enter your orders after close.

 

[tech/a]

Re: Noob Intra-day Data Questions

AMSH, plenty of data providers give snapshot data, but not at 5 mins before close.

Try this:
Run your AB system with buy at next day's open, but using a buyprice of previous day's close. Make sure you have price bound checking enabled - this will ensure you catch the dip if it happens. You might even gain a few % points, depending on your strategy. If it works, just use EOD data and enter your orders after close.

Just data do an EOD snapshot at 10 and 2

 

[AMSH]

Re: Noob Intra-day Data Questions

GB, I want the data for really involved explorations, not for back testing which is what you're getting at I think (I might have misunderstood though). For example if I wanted to search for all those stocks which were inside days as at 5 minutes to the close and buy based on this. I don't want to manually search through each stock (as time's obviously a factor with only 5 minutes of trading left) - instead I want to be able to run an exploration on the entire data set and have it spit out all of the candidates where (H<Ref(H,-1) and L>Ref(L,-1)). As far as I can tell, the IB client doesn't have this kind of functionality, all of the explorations are really basic and based on volume or largest winners/losers for the day etc.

Tech, I'll have a look Just Data, thanks. Do you know any good providers who do an hourly snapshot? With snapshot data, could I update the entire database at once in a similar manner to EOD (sorry, I'm a complete noob when it comes to intraday data). This would at least allow me to run an advanced exploration and narrow down my candidates, then I could do the rest manually.

Cheers,

AMSH

 

[Gringotts Bank]

Re: Noob Intra-day Data Questions

Yeh I know what you want to do.

What I'm saying is, you could just place your order after close to trigger the next day, thereby doing away with the need for snapshot data altogether. It's possible that doing it this way won't hurt profitability, and will save you on data fees.

This is why I mentioned backtesting - you really need to do this so that you can see if buying next day makes a difference to profitability. Say for example you are using a breakout strategy, buying next day at open, or intraday on retrace, is sometimes more profitable. Capise?

 

[geeroy]

Re: Noob Intra-day Data Questions

I do amibroker explorations during the day just by using the EOD data within my comsec account. it always has the current prices

 

[AMSH]

Re: Noob Intra-day Data Questions

I get what you're saying now GB. Most of my systems use EOD data and enter on the open (of the following day), but the strategy I'm trying to get up and running at the moment works a lot better buying at the close. Thanks for the input though.

Geeroy, do you mean that you use EOD data from the previous day to run explorations on? Or data from the current bar (before the day has finished and the high, low, close and volume are known)?

 

[geeroy]

Re: Noob Intra-day Data Questions

Geeroy, do you mean that you use EOD data from the previous day to run explorations on? Or data from the current bar (before the day has finished and the high, low, close and volume are known)?

Current bar. Live OHLCV

 

[AMSH]

That's awesome, could you expand on how you'd do it? I used to have a Comsec account and I didn't know you could perform explorations like that (or get data that would allow you to do so).

Thanks,

Al.

 

[geeroy]

The EOD data is just a text file you can easily import into Amibroker. Use the import wizard the first time to create the format definition file.

 

[AMSH]

Geeroy, I've had a look into what you're saying and I've got to admit, I'm still clueless. I've done a little research and I think maybe we're still talking at cross purposes.

Could you post one of the exported text files so that I know we're talking about the same thing?

 

[geeroy]

here you go

 

[Gringotts Bank]

Geeroy, I've had a look into what you're saying and I've got to admit, I'm still clueless. I've done a little research and I think maybe we're still talking at cross purposes.

Could you post one of the exported text files so that I know we're talking about the same thing?

You are talking about different things. You've been quite clear you want intra-day snapshots and geeroy is giving you EOD data, which is probably crappy unadjusted data if it's anything like most brokers provide.

One cheap solution would be to build a screen scraper and rip data from your broker then feed it manually into your AB at 3.50pm. Quite possible. Do you want to the whole ASX universe or a subset?

 

[geeroy]

I was just offering a solution to his own example of finding inside days before the close to buy on close. As the EOD data from comsec contains live quotes during the day he could just download it at 3:55, import into his database and run the exploration. Seems pretty straight forward to me so I guess I must have misunderstood something..

 

[Gringotts Bank]

I was just offering a solution to his own example of finding inside days before the close to buy on close. As the EOD data from comsec contains live quotes during the day he could just download it at 3:55, import into his database and run the exploration. Seems pretty straight forward to me so I guess I must have misunderstood something..

That comsec file you put up won't be available for download at 3.55pm. That's the difference. You can only get it at say 7pm, or whatever time comsec puts in on their website. And the EOD file won't have intraday tick movements.

 

[sinner]

That comsec file you put up won't be available for download at 3.55pm. That's the difference. You can only get it at say 7pm, or whatever time comsec puts in on their website. And the EOD file won't have intraday tick movements.

Isn't it 8PM, the ASX specified time at which all trades from the previous 24H must be finalised?