November 8, 2007
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
Filed by brian_z at 11:03 am under Data
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