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Colin,
[... a little delayed on the response]
For end-of-day stock data, TC2000 bundles an COM/Automation SDK for
accessing their product, complete with examples. It works like a charm.
There are also several code examples on the net for pulling end-of-day data
from yahoo, which also work pretty well (and it's free!).
There are Metastock and CSI data format C code available on the net,
letting you access any vendor that publishes end-of-day data in those
formats. I've used these for nearly 10 years and they've worked well. Be
aware that formats changed around Y2K.
For real-time data, I use Townsend Analytic's Realtick SDK, which is
probably the most comprehensive C API for data available. E-Signal offers a
COM/Automation API, but I have second-hand reports that the E-Signal API is
not designed to handle a lot of throughput, and I believe they say as much
in their literature. With the Realtick API I can literally get every tick
update for every market symbol on NASDAQ and NYSE over cable without
flooding the connection (THAT is friggin impressive!). I also stream off
Realtick real-time data for my own historical storage.
The CME publishes tick data post market on their FTP site. You can access
both GLOBEX and regular session data (ftp://cme.com/pub/gtime,
ftp://cme.com/pub/time). You'll need to pull apart the proprietary binary,
or search for the tool TickDB.exe.
Just a cautionary note: I'm sure you're aware of how much tick data varies
per data source. I find it's best to keep back testing and real execution
on the same data.
Cheers,
Kevin
From: "cwest" <cwest@xxxxxxxxxxxx>
To: "Omegalist" <omega-list@xxxxxxxxxx>
Subject: a new data source
Date: Tue, 9 Dec 2003 08:36:30 -0700
Like many of you from time-to-time I suffer from the shortcomings of
data vendors. So much so, that some of my projects (in development) will
never work as well as they could unless they have unimpeded access to
correct historical data-both EOD and tick. Therefore it's become
necessary to add yet another project to my list and create a data source
that can be enhanced according to its users' wishes as much as
practical.
I'd appreciate any suggestions about data vendors that offer an API (or
ftp) to their data. I've called a few, but they're so focused on a
retail/one PC kind of thing, and questions that are even just a little
tech in nature seem to sail over their heads. I shouldn't be surprised I
guess.
Hope to hear some suggestions.
Thanks in advance
Colin West
By the way, I'd make the data source that I intend to create freely
available to anyone who wishes help with this project. Others might have
to pay :-)
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