Re: [amibroker] Yahoo RT Data, AmiBroker Email List Archive

On Sat, Mar 29, 2008 at 6:11 AM, brian_z111 <brian_z111@xxxxxxxxx> wrote:

Re: Yahoo RT data (referring to the major US markets only).

I received the following comments, on the subject, from AB support:

Yahoo so called "real time" is the same as ordinary Yahoo quotes,
with one difference: there is no 15 minute delay.
These are just snapshot (current) quotes, so any data collected
represent situation "at the time of request".
No backfill, no true historical interval bars (except of course
daily) etc.
AmiQuote as it is now, fully allows to get the current quote in "real
time" (i.e. almost no delay) using "Yahoo Current".
To do so you need to do two steps:

1. login on Yahoo Finance site using Internet explorer.
2. In AmiQuote, go to Tools->Settings and check "Allow cookies" box.

Thanks to support for their answer.

FTR.

I did some checking of my own using RTQDownloader from
http://www.trading-tools.com/ (uncrippled trial version).

- Yahoo advertise MarketTracker RT as tick charts
- in Yahoo RT I can view charts down to 1 hour charts with 1 minute
OHLC bars
- in the MT status bar Yahoo report what appears to be tick direction
for the last 6 ticks i.e. up, down or equal (I'm not certain about
this as they don't have a true help manual).
- Yahoo does say that it is the same data, 'normally' available
except that is not delayed. As far as I can tell it is directly from
the exchanges (presumably Yahoo take it as tick data but what happens
to it after that is unknown)

Using RTQDownloader I achieved the following (for Dow consituents):

- downloaded price, vol, bid/ask in ASCII (text files) with 2 sec
snapshots (one file per symbol)
- downloaded price,bid/ask,vol in Metastock format and imported
it 'live' into AmiBoker using the AB Metastock Plugin (configured to
auto refresh) - on refresh the plugin appeared to pull in the 'back
history' from the Metastock directory (every bar every time?) - 4 sec
snapshots.
- data was timestamped HHMMSS

The bid/ask was in the H,L fields.

I am not commenting on the suitability of the data for trading or the
quality - the same applies to RTQDownloader.

I only did a quick test and didn't cross check it against RT data
from other sources - I just wanted to find out what the limit was to
their data (I didn't prove if tick data is on their server - only
that it appears to be there timestamped in seconds).

I am unlikely to do any more with this issue.

brian_z

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