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Brian
This won't help you much but I thought I would chip in here, anyway.
I used to spend *hours* every week manually updating data, checking
splits consolidations rights issues etc every week with data from
Justdata comparing with ASX published data in the back of the old Shares
magazine. What an agonising waste of time!.
Now I only look at Fx. With this being retail broker based the data is
never clean.
Toward the end of last year I ran a simple once a day system on three
different (demo: yes I know) platforms, entering Limit entries for the
day in the morning and off to work for the day, as a kind of real time
walk forward test. Surprising how much time this took to do.
In the evening most times all three platforms had either filled my
orders or not, but it was surprising to see how many times Platform1 and
Platform2 would have filled my limit entry, and one of them had got
stopped out, whereas the other had got to the Take Profit. On other days
Platform1 and Platform2 would have filled my entry order but Platform3
ran without me: a missed trading opportunity.
At the end of the month all three platforms were in profit, just by
different amounts.
Because I get my Fx data through MT3 plugin these are not exactly the
same prices as my live trading account.
To be honest I don't think this matters. Support and resistance are
still at the same level, and is never tick precise.
Others may choose to disagree.
Just following three Fx data providers will show you by how much each
can differ, notwithstanding the different time zones and therefore
differing candles we get. And that is not even talking about economic
news times!
The lesson for me was clear : the individual trade result is irrelevant.
The issue is: is the expectancy positive and can I continue to trade
this. All three maintained a positive expectancy and when this fell away
this was the "stop trading this system" signal.
That to me is one of the advantages of Fx : no database hassles. No
company reports, no shareholder statements, no Chess holder statements
and the inevitable shareholder bits of paper coming through the mail
after I have long closed the trades.
The other way to think about it would be: well if Provider1 has
different Ticks to Provider2, just backtest and optimize for each
respectively over the same time frame and the same tickers. If your
parameters and results differ widely this may be a message that your
system is marginal. On the other hand, if all is well and the results
are very similar, you have just done your own "should I care how clean
my data is?" test.
Regards
ChrisB
brian_z111 wrote:
>
> Steve,
>
> I would like to know how I can decide if EOD data is clean or if
> intraday data is up to the demands.
>
> It is a subject that I don't see much quality discussion on.
>
> For EOD data my best ideas so far are:
>
> 1) Data includes raw data - I can compare raw data to other providers
> raw data - I can't compare it to an absolute benchmark because there
> isn't one.
>
> 2) Data inlcudes a record of all split events and the corresponding
> split factor I can check the event records independently and check
> the math.
>
> 3) I can apply the split factor or see the results of it's
> application so I can check the math.
>
> 4) The event calendar should inlcude non-trading days for the market
> and stand down trading days for companies.
>
> 5) Data can be padded or unpadded (optional).
>
> I can't think of any other way to measure data quality.
>
> I don't think any data provider meets the criteria - maybe a few.
>
> For intraday:
>
> What could I possibly do?
>
> Buy raw tick data from several providers, compare them for a
> consensus and filter it myself ?
>
> I am at a loss on that one.
>
> Of course another option is to trade in such a way that bad ticks and
> unclean EOD data don't affect the outcomes very much (that could be a
> lot easier than the above).
>
> brian_z
>
> --- In amibroker@xxxxxxxxx ps.com
> <mailto:amibroker%40yahoogroups.com>, "scourt2000" <stevehite@x ..> wrote:
> >
> >
> > Mark,
> >
> > No successful intraday real-time trader who does this full-time
> would
> > ever drop eSignal for Gary's new real-time service.
> >
> > It's a pennywise and pound-foolish decision.
> >
> > He's fine for clean end-of-day data. But he's way out of his
> league
> > for the demands of intraday real-time trading.
> >
> >
> > --- In amibroker@xxxxxxxxx ps.com
> <mailto:amibroker%40yahoogroups.com>, "MarkK" <MailYahoo@> wrote:
> > >
> > > Brian,
> > >
> > >
> > >
> > > So far I am very happy with the QP RT beta testing
> > >
> > > I believe that when it goes live they will be taking a lot of
> > customers away
> > > from the other services
> > >
> > >
> > >
> > > It is a much better value than other things out there, and so far
> > the data
> > > has been accurate
> > >
> > >
> > >
> > >
> > >
> > > MarkK
> > >
> > >
> > >
> > > _____
> > >
> > > From: amibroker@xxxxxxxxx ps.com <mailto:amibroker%40yahoogroups.com>
> [mailto:amibroker@xxxxxxxxx ps.com <mailto:amibroker%40yahoogroups.com>]
> > On Behalf
> > > Of brian_z111
> > > Sent: Friday, February 15, 2008 7:47 AM
> > > To: amibroker@xxxxxxxxx ps.com <mailto:amibroker%40yahoogroups.com>
> > > Subject: [amibroker] Re: AP's RT data feed - for MarkK
> > >
> > >
> > >
> > > > I am looking for an RT data provider. I used eSignal for a
> couple
> > > >of years, then quit and am ready to resart, but don't likr their
> > > >fees.
> > >
> > > QuoteTracker and LiveCharts have the $60 and $20 version of
> eSignal
> > > if you don't mind less backfill and fewer symbols.
> > >
> > > I have read of a few issues with LiveCharts but surely we can
> make
> > it
> > > work (a lot of the problems also came about because people still
> > > wanted it free after it changed to pay for play a year ago - of
> > > course it doesn't work if ou don't pay).
> > >
> > > A couple of users said it was slow - I don't know - I haven't
> tried
> > > it yet but I will.
> > >
> > > brian_z
> > >
> > > --- In amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups. com>
> > ps.com, "Ara
> > > Kaloustian" <ara1@> wrote:
> > > >
> > > > Mark,
> > > >
> > > > I am looking for an RT data provider. I used eSignal for a
> couple
> > > of years, then quit and am ready to resart, but don't likr their
> > fees.
> > > >
> > > > Would you elaborate a bit on AP. Never heard of them
> > > >
> > > > Tx
> > > >
> > > > Ara
> > > > ----- Original Message -----
> > > > From: MarkK
> > > > To: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups. com>
> > ps.com
> > > > Sent: Friday, February 15, 2008 3:36 AM
> > > > Subject: RE: [amibroker] New EOD data feed other than Quotes
> Plus
> > > >
> > > >
> > > > Dan,
> > > >
> > > >
> > > >
> > > > I use QP for EOD data, and am happy with the fundamental data
> > > that they provide. Not sure there is another service that offers
> as
> > > much in that area
> > > >
> > > > I also use Fast Track for EOD data. Some market internal data,
> > > no fundamental data to speak of, however the data has been
> cleaner
> > > than QP EOD day data. For Mutual fund data not sure there is a
> > > better service out there.
> > > >
> > > >
> > > >
> > > > Have been an e-signal subscriber for RT data now for 4 years. I
> > > cancelled my subscription since they kept raising their prices,
> and
> > > went to IQ feed. Used them for a month then they raised their
> > > prices. Luckily I was abe to beta test AP's RT data feed. So far
> > > they have been very responsive on the changed needed to make it
> an
> > > excellent RT service, and at a reasonable price.
> > > >
> > > >
> > > >
> > > > I would suggest you get hold of Gary at QP and let him know
> about
> > > your issue. I would think you will become a satisfied customer
> once
> > > again
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > MarkK
> > > >
> > > >
> > > >
> > > >
> > > > ------------ --------- --------- --------- --------- --------- -
> > > ----------
> > > >
> > > > From: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups. com>
> > ps.com
> > > [mailto:amibroker@ yahoogrou <mailto:amibroker% 40yahoogroups. com>
> > ps.com] On
> > > Behalf Of Dan Clark
> > > > Sent: Thursday, February 14, 2008 11:56 PM
> > > > To: amibroker@xxxxxxxxx <mailto:amibroker% 40yahoogroups. com>
> > ps.com
> > > > Subject: [amibroker] New EOD data feed other than Quotes Plus
> > > >
> > > >
> > > >
> > > > I've been using Quotes Plus data for the last 2-1/2 years.
> > > Overall, I've been very happy with Quotes Plus data and Gary
> > Lyben's
> > > (owner/president) responsiveness. That said.
> > > >
> > > >
> > > >
> > > > In the last few days, I've swapped several e-mails about a
> minor
> > > billing issue (credit card renewed with different number) with a
> > > woman in his billing department. What should have been a very
> minor
> > > clerical issue left me feeling EXTREMELY angry and offended.
> > > >
> > > >
> > > >
> > > > I vowed to switch my data feed from Quotes Plus to another data
> > > feed as soon as possible. This is a major issue for me because of
> > > the amount of AFL recoding involved, but I can no longer do
> > business
> > > with Quotes Plus.
> > > >
> > > >
> > > >
> > > > I need some options for other EOD data feeds. What EOD service
> > > are you using? What has your experience been? What are the
> > > alternatives now?
> > > >
> > > >
> > > >
> > > > Thanks and regards,
> > > >
> > > >
> > > >
> > > > Dan.
> > > >
> > >
> >
>
>
--
Regards
ChrisB
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