|
PureBytes Links
Trading Reference Links
|
Hi Ted,
That is one impressive list of questions that you have there! I do
appreciate the fact that you seem to have really thought out much of
your technical trading needs. I'll give a shot at answering a few of
your questions to see if I can help things along a little. I see a
number of people have already answered most of them, but I'll add in
my two cents worth too.
Data Structure Approach: The historical data for the stocks is
actually the easy part. AmiQuote will take care of all the downloading
and updating for you without any problems. May take several hours for
the initial fill for decades of data, but it will do it.
The template out there is fairly accurate, however, Yahoo and the
company (Hemscott) that they purchase data from change symbols on a
semi-frequent, unstructured time table (from what I can tell) and is
the reason that I update the template about once a month. If they
would just publish what was changed, things would be much easier. I
may end up writing a utility to merge new symbols, change symbols and
delete old data, however, I haven't found the time to do that yet.
Some of the data has been provided by Dick Hoierman, who has been kind
enough to provide me with a number of symbols such as ETFs and such to
add into the template.
You made mention of wishing that AB would associate stocks with
various groups. I guess I don't quite understand what groups those
are. They already group according to exchange, sectors and groups.
What other groupings would you care for? If you already have these in
a csv or database type file, I could probably add those in for you, or
could point you in the right direction for code if you would prefer.
DB Maintenance: Good questions here.
1) Many brokers and data vendors use different symbols, just a fact of
life. Personally I use eSignal, ETrade, Interactive Brokers,
Tradestation and Yahoo. The indices are usually different and the
futures are too. The stocks themselves usually stay the same although
many times Yahoo will add a "." suffix to it for their purposes. I
don't have a suggestion or fix, just one of the things I wanted to
point out.
2) I use Yahoo for EOD all the time but it is for back testing and dev
work only, I do not use it for production. If I am going to do a swing
or extended order, then I take a look at the other data feeds prior to
submitting that order. No company is perfect when it comes to how
clean the data is, eSignal and TS included. They all advertise how
good there data is, and I guess it boils down to how much you want to
trust one data vendor with your hard earned money for a trade... I'm
not advocating checking a number of vendors prior to each trade, but
if a data point is suspicious then it should be rechecked. EOD is easy
to do, but intraday trading? In a fast market though, this may be
impossible.
3) Nope, you can download all you want from Yahoo. The 200 symbol
limit will only effect how many symbols are done simultaneously. I
usually keep between 10 and 15 years of data on all the stocks and the
initial load takes a while, but the daily updates run very fast.
I do think that you made a good choice with AB. I have had several
programs over the years, and have found the help from the AB staff
(Tomasz & Company) and the other folks here on the forum as being
extremely helpful. I wish I could say that of the other software (and
brokers or vendors) that I use now. One of the things you really can't
put a price on.
Wish you the best of luck (and skill) with your trading.
Jim
--- In amibroker@xxxxxxxxxxxxxxx, "avitar312" <avitar312@xxx> wrote:
>
>
> I just purchased AmiBroker today after evaluating it for the last 3+
> weeks. It appears to me that it will do everything, without exception,
> that I want it to do. Having said that, I think there are a three
> challenges that face me that others may be able to help with.
>
>
>
> My first challenge is to develop a structure plan for the database.
> The second is to populate it, and the third is to maintain it. Since I
> am new to the program, I am hoping that some of you might respond with
> any "lessons learned". I have detailed my approach below so that folks
> can help me avoid potential pitfalls, if they are willing.
>
>
>
> Objective
>
> Obviously, the first question is "What do you want it to do?" My
> primary goals are to use Amibroker for back-testing systems and then
> implementing them. Additional details, in order of priority are:
>
>
>
> 1. To develop trading systems associated with stocks on AMEX,
> NASDAQ and NYSE;
>
> 2. To implement those systems on a daily and sometimes
> intra-daily basis via AmiBroker;
>
> 3. Eliminate unnecessary cost associated with data collection;
> and,
>
> 4. Automate data collection as much as possible.
>
>
>
> Background
>
> Often, it is difficult to answer someone's questions without
> knowing their capabilities, so here's another list:
>
>
>
> 1. Moderate familiarity with programming (Jscript, Pascal, VB);
> 2. Reasonably up-to-date hardware ? multiple monitors, decent
> storage capability and processor;
> 3. Up-to-date software (XP, Office);
> 4. Trading software (Amibroker, QCollector, and trial versions of
> AmiQuote, PowerScan);
> 5. Subscription to eSignal for data feed; and,
> 6. Cable connectivity ? up to T1.
>
>
>
> Data Structure Approach:
>
> I used the template developed by Rik Rasmussen in message # 107348.
> Many thanks to you Rik for saving me time! I will continue to customize
> the structure with additional categories, groups, sectors/industries. My
> thought is that it will be a requirement to run back-testing against
> collections of stock, as well as entire exchanges, so it is best to get
> it organized to the nth degree. From what I can tell, creating the
> structure isn't particularly time consuming ? associating
> 1000's of stocks with that structure may be.
>
>
>
> Again, Rik's help saved me a lot of work, but I still have a
> considerable number of stocks to add as well. It would seem that since
> stock classifications are part of data you can pull from Yahoo, there
> should be a way to automate this. If there is, I haven't found it.
> Ideas anyone?
>
>
>
> Rik seems to imply that he developed a script to do this.
> Unfortunately he can't distribute because he did it for a customer.
> Has anyone seen similar scripts out there? As you can tell, I am not a
> big fan of re-inventing the wheel.
>
>
>
> Data Acquisition & Storage Strategy:
>
> This is a tricky part for me. I have already gathered historical data
> on approximately 8000 stocks going back on some as far as 1990. I pulled
> this data (ASCII format) from eSignal using QCollector. The list of
> stocks came from the AmiBroker website. All information is on the local
> hard-drive.
>
>
>
> I can import this information into AmiBroker using the Import Wizard,
> but of course then I would have to associate any stocks from my list
> with the various groups. I am hoping that someone has a solution for
> automatically doing this.
>
>
>
> I wish that AmiBroker had these kind of lists compiled although I can
> understand the initial manpower required. Still, it would be a great
> jumpstart for folks and would allow them to get to work with the
> software much faster.
>
>
>
> Once the two lists are merged, and all stocks are up to date, the
next
> phase is maintenance.
>
>
>
> Database Maintenance:
>
> From what I read, it seems to me that I can use AmiQuote to keep
> everything updated. Is this true? My understanding is that it will pull
> EOD information from Yahoo. That of course raises a few questions.
>
>
>
> 1. Since there seems to be a symbol difference (index symbols)
> between Yahoo and eSignal, will there be problems that I need to address
> now? Yahoo seems to be considerably less expensive as a data feed; and,
> while eSignal seems to have some great products, I'm really not sure
> it is worth the expense for my needs right now.
> 2. If I decide on Yahoo as a data feed, using AmiQuote as a
> go-between, will that support my objectives? Since historical data has
> been gathered I anticipate my future need as EOD data and intra-day
> data. (No I don't want intra-day data on all stocks, just those on a
> watch list.) Am I missing anything here?
> 3. It seems as if Yahoo has some limits on downloading of data. I
> can't recall exactly what I read, but it seems to me that 200
> symbols at one time was a limit. If I want to automatically download EOD
> for 8000 stocks, will I have to do it in 200 symbol groups; or, perish
> the thought, individually?
> 4. If for some reason I need to stay with eSignal to avoid problems
> from question #3, will I have to manually import the updated data each
> day to keep the database in AmiBroker current?
>
>
>
> The bottom line here is that I want to spend the majority of my time
> working and systems and trading ? not doing administrative tasks. If
> folks have a suggestion for the best "lash-up" that will support
> my goals, I'd really love to hear it.
>
>
>
> Conclusion:
>
> If you've read this far, I appreciate your determination ? I
> know it was a novel! I felt it was important to lay it all out though so
> that you didn't waste time trying to guess what I might need. My
> hope is that your responses may answer some of the practical application
> questions that face others as they get started with AmiBroker.
>
>
>
> Finally, if you're sitting on the fence about answering because of
> the number of questions, just pick one and go for it. Sooner or later
> I'll get suggestions on all. I wouldn't expect anyone to go
> through this piece by piece. Time is too valuable.
>
>
>
> Thanks to all, I look forward to working with you on this forum in the
> future.
>
> Ted
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|