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PureBytes Links
Trading Reference Links
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Google and ye shall find...
http://www.amibroker.com/odbc.html
It provides access to anything that you can put into a database,
which is a pretty much anything.
Any SQL database should work. Personally, I prefer this one...
http://www.postgresql.org/
You will also need the odbc driver:
http://www.postgresql.org/ftp/odbc/versions/msi/
SQL can take a bit of work to learn, but the basics are not very
complicated.
For example, the following sql will build volume at price data for
each 5 minute bar, assuming that you have a table of tick data:
insert into dat_5min_vol_at_price (symbol, date, price, timenum, vol)
select symbol, date, price, bar5num, sum(vol)
from raw_ticks
group by 1, 2, 3, 4;
In Ami, you use the odbcGetArraySQL() function to perform a SQL query
and return the result.
I downloaded the tick data from TradeStation, then imported the data
into the database.
-Doug
--- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@xxx>
wrote:
>
> Doug,
>
> Can you provide any more details, links etc...
>
> This may be something I consider in the future.
>
> TIA
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@> wrote:
> >
> > I just had a good experience using the odbc database driver with
> > amibroker.
> >
> > I built a tick database, about 75GB worth. From that, I can
calculate
> > volume at price, vwap and other data. I use postgress, a free
open
> > source database.
> >
> > I thought that I would have to write my own trade match and
backtest
> > code in sql, but then I found the odbc sql interface to pull the
data
> > into amibroker.
> >
> > I was plesantly surprised how fast the odbc/amibroker interface
was.
> > Working with tick data is never fast, but each sql query from ami
was
> > only a handful of ms.
> >
> > -Doug
> >
>
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