I am looking for help in clarifying how to set up and use
Real time data. Currently using worden EOD data and can program very simple
systems and back tests, etc.
I guess I just do not have a good understanding of how RT
data is gathered and used as compared to EOD data. I have looked through the
documentation but am confused how it all works. It looks easy enough to set up
a data supplier but confusing how to best utilize RT data.
Looking at IQ feed or starting an account at IB. Both of
these data suppliers have limits on simultaneous data you can have and backfill
data days? Not sure what this means. With EOD data I just download data
for all US
stocks every day.
Is it realistic to download 1 minute data for all stocks
everyday to build a database for back testing? Are these data suppliers set up
to provide us with this much data every day? Should a smaller universe of
stocks be specified to work with to reduce the amount of data? Is it
possible to obtain a few years of data for a universe of stocks for back testing
systems with real time data? How does AB manage all this data gathering? Is it
realistic to think I will need to build a RT database for a universe of stocks
in AB over time? Is there a special group of AFL commands in AB I should
learn about to work with RT data? What methods are currently being used to
gather and mange RT Data?
Any clarification or insight on this topic would be
appreciated.
Tod Pellaton