Patrick,
Current data is available earlier but at least with my
downloader there is not much difference in speed when I download data on a daily
basis which also automatically includes AX previous days (user defined
AX).
If one insists on using current data quotes for
Vernon's EOD situation (as opposed to intraday where streaming is
preferred) then yes you have to make sure that things get adjusted.
One can pay a service to do this or use a downloader that knows when an
adjustment for dividend or split is needed and just does it. With such a
downloader your concern about extra work for adjustments is not a
problem because there is none.
However, current for EOD is not the way to go,
imo. Waiting a few hours for historical data is worth it in my book
in order to ensure that bad data points which bedevil all current data
feeds have been corrected, although to be sure I found that most of the time
there is no difference between current and historical except perhaps for things
like volume, picking up AH quotes, etc. which can be a
pain. However, if one really wants to use current data for EOD then
perhaps the best approach is to use current for trading days and once a
week go back and pick up the historical data in order to ensure that all is
OK. That way one has the data a couple of hours earlier but the data base
is historical with a few days of current data tacked on. Personally, I
would not want uncorrected current data as my "permanent" data
set.
As for new listing, etc. yes you have to take care of
this yourself. I do this for ETFs and it is not a big deal as there are
freebid listings that are published periodically so one only has to enter them
into the database - a few minutes per month - and nothing is lost because I
require a fair amount of data before I use the price series for trading
purposes. Similar listings are, I'm sure, available for IPOs, etc.,
including stuff from brokers who fall all over themselves to give
clients that type of information.
As for using Yahoo for just a few symbols I guess I'm
the exception to your rule as my database consists of about 1000 symbols.
However, if one wants something special that a fee-based service provides
then that is clearly the way to go. For the rest of us Yahoo and such
are just fine.
Bill
----- Original Message -----
Sent: March 10, 2010 7:49 PM
Subject: {Resending}] Re: [amibroker] Few
Newbie Questions re: yahoo data
Hi Bill,
I suppose you are right, however if one is updating
daily with the current day feed (much faster and available earlier than
historical) the data is not adjusted. You either have to do that chore
yourself, or periodically (weekly??) re-download your entire symbol list from
the historical site, which I am assuming will overwrite the non split adjusted
info. While it is possible to write an exploration to spot possible
split candidates (based on price changes between days), one still needs to
verify the split and the ratio. For me, my time is worth more than the
$1 to $2 daily for data versus my effort to keep a sizable databases
current.
But that still doesn't solve the symbol change and new
symbols problem. Today, for example, BALT (Baltic Trading, Inc., a
marine shipper) started trading. If you happened to watch for new
listings then you might know of it. If not, then it may be some time
before you happen to learn about it. IPOs are often good to watch when they
first start out. A data service will automatically pick it up and add it and
you can refresh you AB database to add it.
However if you only trade a few symbols, then Yahoo
certainly can answer the need.
Peace and Justice --- Patrick
----- Original Message -----
Sent: Wednesday, March 10, 2010 11:36
AM
Subject: Re: [amibroker] Few Newbie
Questions re: yahoo data
Yahoo does provide adjusted split/dividend data
for their "historical" data. So, if downloading historical the
downloader should be able to handle this adjustment to the
database.
Bill
----- Original Message -----
Sent: March 09, 2010 2:20 AM
Subject: Re: [amibroker] Few Newbie
Questions re: yahoo data
Hi Vernon,
I suppose the fast answer is "It depends".
On what does it depend? Well really how are you using the data and
for what stocks.
First of all, Yahoo data is WYSIWYG, i.e. it
doesn't adjust for splits, symbol changes, etc. So if your principal
use is to acquire a historic database to back test against, do so with
extreme caution. If you are planning on maintaining a large number
of symbols to track on a day to day basis to make EOD trading decisions
for trades the next day, again the caveat "be careful and double check
with another data source before placing trades" (you broker's data is
probably sufficient here). If you are going to follow only a few
(say 50 or fewer) stocks, then it may be fine. Why? Well as I
said, Yahoo data is WYSIWYG and you will have to do all the adjustments
for splits, symbol changes, etc. which means spending some amount of time
tracking down that info in press releases, SEC filings, etc. On a
large database this quickly becomes very time consuming. Your
time is a resource and is better spent trading, preparing to trade,
learning to trade, studying the markets, etc.
Thus, if you are really trading (or even investing
by buying and selling more than a couple dozen times a year), you are
better off spending the nominal amount to buy a data service that will
maintain all that stuff for you and do so with reliable accuracy.
Quotes Plus, TeleChart 2007, Premium Data from Norgate are all reasonably
priced EoD data providers (think like a couple lattes a week)
which integrate with AB nearly seamlessly. Another route to go is feed you broker's data to QuoteTracker
and then import it into AB. This won't give you an instant lengthy
historical database, but again depending on the number of stocks you plan
to follow can be manageable. Keep in mind also that your costs
for data feeds (like investment subscriptions and AB) is a tax deductible
expense incurred to generate income.
If you do decide to go cheap (remember the
adage "you get what you pay for" seems to have been invented for data
feeds) and stay with free Yahoo data, pay close attention to daily highs
and lows as well as open and closing prices and volume. Often there
isn't too great a difference, but if you are using indicators which are
based on these data points, be wary.
Peace and Justice ---
Patrick
----- Original Message -----
Sent: Monday, March 08, 2010 4:30
PM
Subject: Re: [amibroker] Few Newbie
Questions re: yahoo data
Hi -
Like wise, I am a "newbee" to all this. I
had no intentions of becoming a programer, but I do like Amibroker.
While I'm learning (and losing money <kidding>), I am using
yahoo EOD data during my learning process. It appears to agree
with my Scottrade Account (although I haven't done any investigation
into the accuracy). I have no desire to use RT data - EOD is
fine for my uses.
Could someone expand or provide more
information with regard to the statement below of "yahoo EOD data
being inaccurate"? That worries me a little since
I'm investing my hard earned $$$$ using it. Thanks in
advance for any insite/information you
might provide.
As to when EOD data can be downloaded, I
generally d/l it between 6 and 7 pm ET. If "historical" d/l
doesn't pick it up, "current day" will.
Vernon
--
ENJOY LIFE!! Keep it SIMPLE!!
Hi Jchi --
High quality, low cost end-of-day data is
available from several vendors. Two I recommend (I subscribe to
them both) are:
Quotes Plus -- http://qp2.com/joomla/index.php
Norgate
Premium Data -- http://www.premiumdata.net/
Read
the reference materials related to BuyPrice, SellPrice, and
TradeDelays. They work in combination.
The pair of
statements
BuyPrice =
Open;
SetTradeDelays(0,x,x,x);
uses the price of the open
of the bar being processed.
The pair of statements
BuyPrice
= Open;
SetTradeDelays(1,x,x,x);
uses the price of the open
of the bar following the bar being
processed.
Thanks,
Howard
On Fri, Feb 26, 2010 at 3:58 PM, jchi18
<inbox.chi@xxxxxxcom>
wrote:
1. When is the earliest I can download EOD data from Yahoo? i.e.,
when will today's data be available for download?
2. In the
trades tab when performing automatic analysis, what does buy price
mean if I set it to open? i.e., I perform a scan of my trading
system and it says that a buy signal was found for 2/26/10. When it
is set to buy at the open price, will amibroker get the open price
of 2/26 or 2/27?
3. What is the best but reasonably priced
way of getting accurate EOD data into amibroker? I understand that
Yahoo is inaccurate.
Feel free to contact me at inbox.chi@xxxxxxcom.
THanks.
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