Data FAQ’s – EOD Equity

An unsorted, unqualified list of FAQ’s on anything and everything to do with EOD equity data.

The list is dynamic and subject to change without notice.

CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.  THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH. 

 

Q4. I want to set up a database for stocks from the European stock exchanges (London, UK, Germany). Who is a good data provider for these European exchanges for AmiBroker?

A1. I use Reuters Datalink for EOD European data. It provides all European data in Metastock format. I have been using Reuters for all my EOD data for some time and can recommend them.

Spa69 – AmiBrokerYahooGroup message#116895 “London stock exchange and Deutsche boerse” http://finance.groups.yahoo.com/group/amibroker/message/116895

Authors comments:

CSI is a commercial provider who specializes in US, Canadian and the UK market.

For free data, JustData and MLD Downloader are Yahoo downloaders that will provide Yahoo lists/data for Euro exchanges but
not with sector info (I’m not sure if the data is adjusted for Euro markets as it is for Yahoo American market data).
e.g MLD will download updated constituent lists for approximately 10 Deutsche indexes including the CDAX (around 600-700 stocks).
You can also (tediously) donwload consituent lists for indexes from Yahoo Germany – click on the constituent and follow the link “Aufbereitet für Tabellenkalkulationsprogramm”. Sites like the Deustche Boerse and FTSE homepage do provide ticker lists and sector classification etc but only on a pay per view basis.

 

Q3. Where can I get data for Indian Stock and commodities (MCX ncdx).

A3. Data for MCX / NCDEX and NSE and BSE is available at http://in.groups.yahoo.com/group/bse-nse2005/ . You can easily import the same into AB.

Prasanth – AmiBrokerYahooGroup message#116545      “Questions Regarding AmiBroker”   http://finance.groups.yahoo.com/group/amibroker/message/116545

 

Q2. I can’t find the Quotes Plus plug in to read a Quotes Plus database with my Amibroker version.

A2. You have to install Quotes Plus (using their CD-Rom).  AB detects the installation of key databases like TC2000, QP, and FastTrack and will include them in the plug in drop down list for your selection.

Link to a video on how to setup a QP database by AmiBroker.com  http://www.amibroker.com/video/qp3.html

Joe Landry – AmiBrokerYahooGroup message #116679   “Where’s the Quote Plus plug in ?”  http://finance.groups.yahoo.com/group/amibroker/message/116679

Video by AmiBroker.com

 

Q1. Can anybody recommend an EOD provider for equity data (American markets) ?

A1. I use a paid provider (TeleChart Gold, sometimes referred to as TC2000, TC2005, TC2007 – 29.99/mth $US provided by Worden Brothers http://www.worden.com/SoftwarePricing.aspx ). It has two huge advantages going for it, that in my view have paid for itself many
times over:

1) AmiBroker works directly against it’s database! Just install it,
then tell AmiBroker how to get to it (http://www.amibroker.com/guide/h_extsources.html ) and never worry
about your data again. AmiBroker will auto update since it keeps apointer to the actual TC2007 database.

2) It provides the “true” end of day closing values *on the day they happen*. Many data providers, possibly Yahoo – worth checking into, will only show the closing value recorded within the strict trading hours of the main exchange. If a valid regular hours day transaction gets recorded a few minutes late, it will not show up as the end of day closing value on that day. But, the next day it will show up on the historical chart as having been the actual close (e.g. if occurs on Tues but recorded a few minutes late, some providers will *not* show it as the close for Tues, but on Wed they *will* show it as having been the close for Tues).
I am not talking about extended hours trading here, I’m talking about regular hours end of day trading whose recording is delayed by a few minutes or some other cause. The phenomenon is real, I don’t know the detailed reasons as to why. When I complained to Scottrade about it, they pointed out that the trade in question was recorded at 1 minute past close, so didn’t count for their end of day data, even though they did show it as such the next day.
This makes a big difference when your trading signals are based on closing price. It can literally be the difference between placing your exit order for the next day, or missing the signal until it’s too late. Both Scottrade and Interactive Brokers suffer from this, and as a result, their charts are useless to me.
Double check your close values against the following site for a while (free quote site, not a data provider http://stockcharts.com/index.html ). Every once in a while you may find that the data you are getting from your service does not match with the one from the link above, but your service will show the corrected value the next day. In my experience, the stockcharts.com quote is always accurate on the day of the trade and is the same as what I get from TeleChart.

Mike

AmiBrokerYahooGroup  message# 116777 “Eind-of-Day Stock Data”   http://finance.groups.yahoo.com/group/amibroker/message/116777

Data Resources – EOD Equity

A list of unqualified data resources with a bias towards EOD equity data (mainly for the American market). Some of the sites do provide data for other financial instruments as well.

This is an unofficial resource guide. For a complete list of AmiBroker supported data providers refer to: http://www.amibroker.com/guide/h_quotes.html

The list is dynamic and subject to change without notice. It is ordered according to when the author researched the site and it is not sorted by rank or order of merit.

CAUTION – MOST OF THE LINKS CONTAIN COMMERCIAL REFERENCES OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND AND RECEIVES NO GRATUITIES, OR BENEFITS, FROM ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL ACTIVITIES, RELATED TO TRADING, IN ANY WAY. THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.

6) Paritech

http://www.paritech.com.au/default-au.htm

A Melbourne (Australian) based provider of market data utilizing Paritech’s DataDirector software.

Which Markets does Data Director Support?

DataDirector allows you to register for and download from one to multiple world markets:

Australian Stock Exchange (ASX)
Sydney Futures Exchange (SFE)
New York Stock Exchange (NYSE)
National Association of Securities Dealers (NASDAQ)
American Stock Exchange (AMEX)
London Stock Exchange – Domestic
Singapore Stock Exchange (SES)
Overseas Indices, Foreign Exchange Rates and Futures

Note: the bias is towards the Australian market and the Metastock format (all of the features listed may not apply to all exchanges – international customers should contact Paritech support for information on international data).

What format is the downloaded data in ?

DataDirector has a filter that enables you to format the output files (ASCII, Comma Separated Variable (CSV), Metastock) and to handle corporate actions (these can include splits, name changes and additions) plus Sector (GIC’s) and Favourites organization.

Where is the data sourced from?

Data is sourced, where possible, directly from the relevant Stock Exchange and also Reuters, one of the world’s leading suppliers of Real Time data feeds.

What happens if I miss a days download?

DataDirector allows you to download up to two months history data if you are unable to download for a period of time. Longer periods can be downloaded by calling our technical support staff.

How can I obtain historical data for periods longer than the two months available for downloading?

Historical data CD’s are available for all the supported markets (free with subscription packages).

The History CD for the Australian Stock Exchange (ASX) is fully back adjusted to ensure the integrity of your database is perfect. All ASX splits, ASX name changes and ASX consolidations are completed. The ASX History is typically 14-16 years, plus many of the blue chip stocks and indices go back over 25 years. History is also available for ETO’s (Exchange Traded Options) and Warrants.

History CD’s for the United States (NYSE, NASDAQ, Amex), Europe (LSE) and Singapore (SSX) markets going back over all securities approximately 10 years.

http://www.paritech.com.au/AU/products/data/renewal.asp

Additional Products:

a) COT (Commitment of Traders Reports) historical databases available.

http://www.paritech.com.au/AU/products/data/cotdata.asp

b) Unlimited real time data for the Australian markets using Paritech’s Pulse software or DDE functionality – Real Time export function – export 50 time series live fields and events out of PULSE into your own application e.g. Excel and other compatible software.

http://www.paritech.com.au/support/pulse/features/dde.asp

c) EOD and historical EOD data for:

Futures Prices – financial and commodity futures from 13 international exchanges. 
Cash Prices – major international stock indices and cash metal prices.

 http://www.paritech.com.au/AU/products/data/datatools.asp

d) EOD data for Foreign Exchange – 13 spot cross-rates against the U.S. Dollar.

 http://www.paritech.com.au/AU/products/data/datatools.asp

 

5) TechnicalTrends

 http://www.technicaltrends.com/

Indian stock-market data – quality end of day and intra day data for stocks, futures & commodities traded on Indian exchanges (NSE, BSE, NCDEX and MCX). Extensive historical data is available. Intra day data (30 minute) is available for ALL stocks in the NSE.  End of day data is provided in Computrac format (now popular as Metastock format)  while intra day data is in text files easily accessed by all technical analysis software. Commodities data is provided for all contracts listed on the NCDEX & MCX.  Data is available in individual, as well as continuous contracts.

 

4) ViraTech

http://www.viratechindia.com/index.html

Indian stock-market data – complete historical data and daily updates for all stocks at BSE, NSE and CSE including complete Futures & Options data plus exhaustive Commodity, Forex and World Market data . Metastock format automatically adjusted for Splits / Bonus / Rights / Name Changes etc. as and when they occur.

Complete Historical Data would be provided for :

  • BSE (From 1984, Sensex from 1979 with volumes)
  • NSE (From its inception in 1994)
  • US Stocks (including Nasdaq 100, S&P 500, ADR / GDR’s) comprising of almost 25 years of history!
  • 40+ World Market Indices starting from 1980
  • International (starting 1970) and National Commodity data (from Inception of Exchange’s)

3) BSE-NSE2005

http://in.groups.yahoo.com/group/bse-nse2005/

A community service Indian Yahoo Group created for the purpose of sharing data files. 

Join the forum to get Free End of Day Data for Bombay Stock Exchange {BSE}, National Stock Exchange {NSE}, Futures Data for F&O Segment of National Stock Exchange and Commodities Data for NCDEX MCX. The data includes not only the OHLC but also Delivery volumes which is a value addition and which cannot be found from data elsewhere.
We provide the Data in ASCII format and as such can be directly imported into most Charting softwares such as AmiBroker, MetaStock, etc.

2) JustData

 http://www.justdata.com.au/

EOD data for Forex, Stocks, Commodities and Futures from Australia, Asia, Europe, Africa, North and South America (stock market data from over 90 World Exchanges) http://www.justdata.com.au/Products/BodhiFreeway/bg_data.htm#stocks

Stock data is biased towards the Australian market (ASX equity data includes accurate dividend adjustment, using dividend values as recorded by the ASX, GIC’s sector classification, de-listed stock and current fundamental data).

Historical data – shipped as a CD ROM – available with data subscription packages or standalone – deep histories – Equities & Indices for international markets – Equities, Indices and Warrants for London and the major Asian and American markets – Equities, Indices, Income, Warrants and Options for the Australian market – plus World Indices – plus Futures (Commodities) & Indices for America, Europe and Asia – plus the dollar cross rates (Forex) for the major currencies.

http://www.justdata.com.au/Products/BodhiHistory/index.htm

Bodhi History includes expired symbols on the ASX since 1990 and on other Exchanges since JustData started disseminating them.

The future and commodity markets contain continuous contracts and current contracts for all traded symbols.

Choose to adjust your databases for Structural Events such as Share Splits; Distribution events such as Renounceable issues; Capital Change and Dividends (the author is not certain of this applies to all markets). You can also adjust Overseas Future & Commodity data at the time of a contract swap.

Compatible with AmiBroker (select ASCII, CSV or spreadsheet formats).

1) Commodity Systems Inc

http://www.csidata.com/

EOD and historical databases for:

  1. North American and World futures (Commodities).
  2. U.S. and non-U.S. stocks and stock indices (mainly Canada and U.K).
  3. Options on World indices
  4. Futures options.
  5. Mutual Funds.
  6. Briese’s Commitment Of Traders (COT) data.
  7. Single stock futures.
  8. Plus many fundamental and econometric series such as interest rates and housing starts.
  9. Data for de-listed stocks available by subscription.
  10. Long historical databases available.
  11. Historical inter-market correlation studies.
  12. and more.

Downloadable text files for the current constituents of the supported markets.

http://www.csidata.com/csi/exchangelist/index.html

AFL Templates v2

Templates can be used, to reduce typing time, when writing formulas.

Formulas, that contain frequently used code, can be pre-written for the various modes (back-testing, plotting indicators, scanning, functions, explorations, optimization) and saved in a Templates folder.

Write your own to suit your use-age patterns.

When starting a new formula, open the relevant template, save it under a new name and comment/un-comment or cut and paste the starter snippets where needed.

AFLT001

Abbreviated Identifiers v2

In AFL the identifiers Open, High, Low, Close, Volume, OpenInt and Avg are reserved for price field arrays. Of the small number of variables that are reserved the price identifiers are the only ones that can be abbreviated (OHLCVOI can be used instead of the longer form).

They are not case sensitive and when entered into a formula, in the Formula Editor, they will default to upper case and bold (as shown in the figure below).

image

This is very nice for speeding up formula writing but there is a ‘Catch 22’.

If abbreviated identifiers are used it makes the task of finding and replacing price arrays, using Formula Editor >> Edit >> Replace very tedious e.g. if the ‘writer’ wants to replace all “C’s” with a variable = = ParamField, for example, the Replace tool will pick up every “C” in the code and ask the user to confirm the replacement.

image

Checking Match whole word only in the Text Search Tool will change the criteria so that where “C” is part of a word it will be passed over while “C”, on it’s own, will be treated as a word and highlighted in the search report .

image

Note: The font format for reserved variables can be customized in Tools >> Preferences.

image

A handy tip for searching, with the Text Search Tool, is to position the cursor at the top of the code so that the search will begin from there. If the cursor is lower down the code the search will start from there and it will only traverse to the end before reporting that the search is complete.

Data FAQ’s – Fundamental

An unsorted, unqualified list of FAQ’s relating to anything and everything to do with Fundamental data.

The list is dynamic and subject to change without notice.

CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.  THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH. 

 

To be completed at a future date.

Data FAQ’s – Commodities

An unsorted, unqualified list of FAQ’s relating to anything and everything to do with Commodities data.

The list is dynamic and subject to change without notice.

CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.  THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH. 

 

Q1. Where can I get data for Indian Stock and commodities (MCX ncdx).

A1. Data for MCX / NCDEX and NSE and BSE is available at http://in.groups.yahoo.com/group/bse-nse2005/ . You can easily import the same into AB.

Prasanth – AmiBrokerYahooGroup message#116545      “Questions Regarding AmiBroker”   http://finance.groups.yahoo.com/group/amibroker/message/116545

Data Resources – Commodities

A list of unqualified data resources with a bias towards Commodiites. Some sites do provide equity data, and data for other financial instruments, as well.

The list is dynamic and subject to change without notice.

The list is ordered according to when the author researched the site and it is not sorted by rank or order of merit.

CAUTION – MOST OF THE LINKS CONTAIN COMMERCIAL REFERENCES OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND AND RECEIVES NO GRATUITIES, OR BENEFITS, FROM ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL ACTIVITIES, RELATED TO TRADING, IN ANY WAY. THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.

 

4) Paritech

http://www.paritech.com.au/default-au.htm

A Melbourne (Australian) based provider of market data utilizing Paritech’s DataTools program.

EOD and historical EOD data for:

Futures Prices – financial and commodity futures from 13 international exchanges. 
Cash Prices – major international stock indices and cash metal prices.

 http://www.paritech.com.au/AU/products/data/datatools.asp

3) BSE-NSE2005

http://in.groups.yahoo.com/group/bse-nse2005/

A community service Indian Yahoo Group created for the purpose of sharing data files. 

Join the forum to get Free End of Day Data for Bombay Stock Exchange {BSE}, National Stock Exchange {NSE}, Futures Data for F&O Segment of National Stock Exchange and Commodities Data for NCDEX MCX. The data includes not only the OHLC but also Delivery volumes which is a value addition and which cannot be found from data elsewhere.
We provide the Data in ASCII format and as such can be directly imported into most Charting softwares such as AmiBroker, MetaStock, etc.  

 

2) JustData

 http://www.justdata.com.au/

EOD data for Forex, Stocks, Commodities and Futures from Australia, Asia, Europe, Africa, North and South America (stock market data from over 90 World Exchanges) http://www.justdata.com.au/Products/BodhiFreeway/bg_data.htm#stocks

Stock data is biased towards the Australian market (ASX equity data includes dividend adjustment, using div values as recorded by the ASX, GIC’s sectors and current fundamental data).

Historical data – shipped as a CD ROM – available with data subscription packages or standalone – deep histories – Equities & Indices for international markets – Equities, Indices and Warrants for London and the major Asian and American markets – Equities, Indices, Income, Warrants and Options for the Australian market – plus World Indices – plus Futures (Commodities) & Indices for America, Europe and Asia – plus the dollar cross rates (Forex) for the major currencies.

http://www.justdata.com.au/Products/BodhiHistory/index.htm

Bodhi History includes expired symbols on the ASX since 1990 and on other Exchanges since JustData started disseminating them.

The future and commodity markets contain continuous contracts and current contracts for all traded symbols.

Choose to adjust your databases for Structural Events such as Share Splits; Distribution events such as Renounceable issues; Capital Change and Dividends (the author is not certain of this applies to all markets). You can also adjust Overseas Future & Commodity data at the time of a contract swap.

Compatible with AmiBroker (select ASCII, CSV or spreadsheet formats).

 

1) Commodity Systems Inc

http://www.csidata.com/

EOD and historical databases for:

  1. North American and World futures (Commodities).
  2. U.S. and non-U.S. stocks and stock indices (mainly Canada and U.K).
  3. Options on World indices
  4. Futures options.
  5. Mutual Funds.
  6. Briese’s Commitment Of Traders (COT) data.
  7. Single stock futures.
  8. Plus many fundamental and econometric series such as interest rates and housing starts.
  9. Data for de-listed stocks available by subscription.
  10. Long historical databases available.
  11. and more.

Downloadable text files for the current constituents of the supported ‘markets’.

http://www.csidata.com/csi/exchangelist/index.html

Data Resources – Forex

A list of unqualified data resources with a bias towards the Forex markets. Some sites provide equity data and data for other financial instruments as well.

The list is dynamic and subject to change without notice.

The list is ordered according to when the author researched the site and it is not sorted by rank or order of merit.

CAUTION – MOST OF THE LINKS CONTAIN COMMERCIAL REFERENCES OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND AND RECEIVES NO GRATUITIES, OR BENEFITS, FROM ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL ACTIVITIES, RELATED TO TRADING, IN ANY WAY. THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.

 

2) Paritech

http://www.paritech.com.au/default-au.htm

A Melbourne (Australian) based provider of market data utilizing Paritech’s DataTools program.

EOD data for Foreign Exchange – 13 spot cross-rates against the U.S. Dollar.

 http://www.paritech.com.au/AU/products/data/datatools.asp

 

1) JustData

 http://www.justdata.com.au/

EOD data for Forex, Stocks, Commodities and Futures from Australia, Asia, Europe, Africa, North and South America (stock market data from over 90 World Exchanges) http://www.justdata.com.au/Products/BodhiFreeway/bg_data.htm#stocks

Stock data is biased towards the Australian market (ASX equity data includes dividend adjustment, using div values as recorded by the ASX, GIC’s sectors and current fundamental data).

Historical data – shipped as a CD ROM – available with data subscription packages or standalone – deep histories – Equities & Indices for international markets – Equities, Indices and Warrants for London and the major Asian and American markets – Equities, Indices, Income, Warrants and Options for the Australian market – plus World Indices – plus Futures (Commodities) & Indices for America, Europe and Asia – plus the dollar cross rates (Forex) for the major currencies.

http://www.justdata.com.au/Products/BodhiHistory/index.htm

Bodhi History includes expired symbols on the ASX since 1990 and on other Exchanges since JustData started disseminating them.

The future and commodity markets contain continuous contracts and current contracts for all traded symbols.

Choose to adjust your databases for Structural Events such as Share Splits; Distribution events such as Renounceable issues; Capital Change and Dividends (the author is not certain of this applies to all markets). You can also adjust Overseas Future & Commodity data at the time of a contract swap.

Compatible with AmiBroker (select ASCII, CSV or spreadsheet formats).

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