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Hi,
I have just recently started full time level 2 stock trading and have
minimal use for the old TS4.0 Tradestation at the moment. I am more
interested in real time data but without a live feed since I only want
to do backtesting. I am wondering what is available to me and also what
is restricted from me related to the following formats of data would be
of value for backtesting. This could include data and a program which
may or may not be an OMEGA Research program. I am also wondering what
sort of ballpark costs I would incur for the program and the data.
Data Formats for Stock Data:
1. My understanding of tick data which I gather is Time and Sales data
(time, size of trade, price of trade, symbol).
2. Level Change Data (Symbol, Start time of level, Bid price of the
level, Offer price of the level). This would be by far the most useful
to me and would have minimal disk requirements. The time and sales
really means nothing because it does not give any info as to what the
AXs) may be doing at a specific price level. This would give me all the
info I would need to study the inner workings of the average jiggle and
the unusual jiggles, etc. I could use this information to come up with
strategies for getting good entry and exits within a larger strategy or
breakouts or whatever.
3. Summarized open high low close bar information of maybe a 1/4 minute.
Minute bars could give me an estimation of a jiggle I suppose and would
be better than nothing. Some disk savings could be obtained.
Data Formats for Stock Index futures:
1. The other item is of course the S&P futures since many stocks follow
this. I gather tick data is availeable for this and I am wondering what
might be available for the ND and SP only for use in backtesting.
On the topic of restrictions I gather the NASDAQ is reluctant to give
out their data for what may be obvious reasons.
Any ideas or suggestions would be greatly appreciated.
Thanks,
John Bowles
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