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Hello Tod,
> 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.
Basically - every bar == a set amount of bytes download adn memory to
store.
1 EOD bar == 60 * 1 minute bars (it has OHLCV just the same)
therefore 60 times the download.
The providers allow so many symbols * so many bars == a set download
(if you use a smaller timeframe then you can't go back so far before
exhausting the limit).
The details vay but this is the theme.
If you want more symbols then you pay more.
> I guess I just do not have a good understanding of how RT data is
>gathered
> and used as compared to EOD data
Basically every transaction is recorded by the exchanges = 10000
bought at $30 == a tick - in the leading stocks the ticks fly - the
ticks are 'compressed' to create, say a one minute bar (AB can handle
tick data and you can view any timeframe you want up to the daily bar
which is then compressed to weekly or monthly.
I have eSignal RT - I don't use below one minute so I set that as my
database timeframe.
If I look at a 24 hour chart of a leading stock it will trade slowly
after hours and premarket.
If I look at the opening bar, based on the open time of the exchange
where the stock trades and the same for the closing one minute bar
(measured by time) i.e. say tge 4pm or 1600 hour one minute bar then
the close of this bar will be the close of the daily bar.
The daily bar == the one minute bars from market open
hours 'compressed' into 1 bar.
RE backtesting:
With eSignal I have a 200 symbol limit so I can take the max history
for the timeframe I want - say 6 months for 1 minute - and it is
saved locally by AB.
Then I can do another 200 symbols etc.
I am not a big user of back data compared to others and this is
enough for me but everyone is different - some do go through a lot
more symbols and depth.
I bought a CD with ASX tick data history on it and manually imported
it into AB to use for backtesxting - it was a PITA to import - very
slow and I had to manually clean out data errors - not recommended.
I use eSignal because I live outside the US and they are the best
choice for multiple international markets.
IB also have international market data but I have held off opening an
account there for personal reasons - their data isn't quite as good
as eSignal.
eSignal is just a matter of following the help manual - the plugin
works like a dream as per the notes.
Plenty of US citzs seem happy with their RT data from the other main
supported providers (IQ or QP).
Pity you don't live in Aus because locals can ring the eSignal Aus
desk and get the 30 day trial for free (except exchange fees)- AFAIK
if you continue on with eSignal US the 30 day trial is back charged
once you sign up.
I didn't answer all of your questions - others might help with the
rest.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Tod Pellaton" <tod@xxx> wrote:
>
> 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
>
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