data questions

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orion
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data questions

Postby orion » 04 Dec 2014

Over the past few years I have collected quality tick data from a datafeed vendor. Unlike TS who I also use, this datafeed provider does not provide continuous futures. I set up custom continuous futures in QM. Questions:

1. Unlike exporting TS continuous futures data from QM, I am not able to export custom continuous futures data. Is that expected behavior?

2. Since the QM database has the custom continuous future but does not have data against the future and is storing the individual contracts, I assume that the back adjustment is done on demand basis each time the custom continuous future is needed for a back test. Is that correct?

3. Going forward, if I want to use my existing tick data in conjunction with a real time datafeed such as CQG, I assume I could simply rename the individual contracts from my old vendor to CQG symbology and change their data source using Edit Symbol in QM to "CQG" (even though the data source was something other than CQG) and everything would work as expected whereby new real time data from CQG would get mated with historical data from a different source?

Thanks.

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TJ
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Re: data questions

Postby TJ » 04 Dec 2014

Over the past few years I have collected quality tick data from a datafeed vendor. Unlike TS who I also use, this datafeed provider does not provide continuous futures. I set up custom continuous futures in QM. Questions:

1. Unlike exporting TS continuous futures data from QM, I am not able to export custom continuous futures data. Is that expected behavior?
::
Thanks.
You can load the symbol in a chart then export the data from the chart.

File > Export Data

orion
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Re: data questions

Postby orion » 04 Dec 2014

You can load the symbol in a chart then export the data from the chart.
Thanks TJ. Exporting the data by other means is possible. I was able to export it via a custom script with portfolio trader. I wanted to check that inability to export data directly from QM was expected behavior and not a configuration issue on my part.

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Andrew MultiCharts
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Re: data questions

Postby Andrew MultiCharts » 04 Dec 2014

Hello orion,
1. Unlike exporting TS continuous futures data from QM, I am not able to export custom continuous futures data. Is that expected behavior?
Custom futures = formula, it is not a container with data. Idividual instruments (that are used by the formula) = containers with data. When exporting a custom futures, there is an option to export not only the formula, but also the individual contracts with data (that are used by the formula).
2. Since the QM database has the custom continuous future but does not have data against the future and is storing the individual contracts, I assume that the back adjustment is done on demand basis each time the custom continuous future is needed for a back test. Is that correct?
Yes, any data modification is done when needed (for example when a chart is requested) and the modified data is not stored anywhere.
3. Going forward, if I want to use my existing tick data in conjunction with a real time datafeed such as CQG, I assume I could simply rename the individual contracts from my old vendor to CQG symbology and change their data source using Edit Symbol in QM to "CQG" (even though the data source was something other than CQG) and everything would work as expected whereby new real time data from CQG would get mated with historical data from a different source?
This plan can work, but not for all data sources/symbols. The better way to reach the goal is to export data into ASCII files from symbol A and import the data into symbol B.

orion
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Re: data questions

Postby orion » 11 Dec 2014

When building custom futures, I notice some of the expired contracts from some datafeed providers lack expiration dates or have wrong dates. I understand correct expiration date is critical for time based custom future. Questions:

1) Is it also required for volume based custom future construction?

2) The date for TF is missing while date for AD is incorrect. However, the date returned by the ExpirationDate keyword in an EL/PL program on for the same AD contract returns the correct date. The expiration date for AD per CME is 12/15/2014 while the expiration date shown in the dialog is 12/23/2014. Why is the wrong date filled in the QM symbol lookup?

Addendum:
3) I think I may have an answer to #2. Please advise if this understanding is correct. It seems the symbol root AD in the symbol dictionary had expiration rule 8CalendarDayPriotLastDay (12/23/2014) instead of 2ndBusinessPrior3rdWed (12/15/2014) and changing the root in the symbol dictionary changed it for all the individual contracts. So the QM symbol lookup installs the expiration date based on the rule for the symbol root in the dictionary and not via lookup in the datafeed?

Part of my confusion is that link below says that if symbol is added by lookup of datavendor, then symbol properties are set according to data vendor requirements (implying lookup in the datafeed?)
http://www.multicharts.com/trading-soft ... Properties
Thanks.
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orion
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Re: data questions

Postby orion » 18 Dec 2014

Does custom futures work with ASCII mapping (ASCII files kept external to the database)? I am getting the yellow popup message even though the contracts all exist in the quote manager. The data for the contracts is in external ASCII files and is linked via ASCII mapping. I am able to bring up charts for the individual ASCII mapped symbols but not for the custom future. Please see attachments. Thanks.
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Andrew MultiCharts
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Re: data questions

Postby Andrew MultiCharts » 22 Dec 2014

1) Is it also required for volume based custom future construction?
Yes, Orion.
2) The date for TF is missing while date for AD is incorrect. However, the date returned by the ExpirationDate keyword in an EL/PL program on for the same AD contract returns the correct date. The expiration date for AD per CME is 12/15/2014 while the expiration date shown in the dialog is 12/23/2014. Why is the wrong date filled in the QM symbol lookup?

Addendum:
3) I think I may have an answer to #2. Please advise if this understanding is correct. It seems the symbol root AD in the symbol dictionary had expiration rule 8CalendarDayPriotLastDay (12/23/2014) instead of 2ndBusinessPrior3rdWed (12/15/2014) and changing the root in the symbol dictionary changed it for all the individual contracts. So the QM symbol lookup installs the expiration date based on the rule for the symbol root in the dictionary and not via lookup in the datafeed?

Part of my confusion is that link below says that if symbol is added by lookup of datavendor, then symbol properties are set according to data vendor requirements (implying lookup in the datafeed?)
http://www.multicharts.com/trading-soft ... Properties
Thanks.
You have answered the question 2 yourself. For futures the settings and sessions are taken from symbol dictionary. If there is any wrong root setting there, please let us know: support@multicharts.com
Does custom futures work with ASCII mapping (ASCII files kept external to the database)? I am getting the yellow popup message even though the contracts all exist in the quote manager. The data for the contracts is in external ASCII files and is linked via ASCII mapping. I am able to bring up charts for the individual ASCII mapped symbols but not for the custom future. Please see attachments. Thanks.
Please make sure that each of the individual contracts has correct root (matching the root in custom futures instrument).

orion
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Re: data questions

Postby orion » 23 Dec 2014

Thanks Andrew. As you guessed, the individual contract roots were misconfigured since they get set to default values during the mapping process. You and Henry get to the answers fast without even needing to take a look!

Another question. Does ASCII mapping support mapping of multiple resolutions of a symbol. Say I have tick data for AAPL in one file and minute data in another file. Both files are named AAPL.csv and reside in different directories. Can I map both? I am finding that when I map one resolution and then map the second resolution, the prior resolution that was mapped disappears. In other words, if I map the tick resolution and then map the minute resolution, I am no longer able to bring up sub-minute interval charts of the symbol.

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Andrew MultiCharts
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Re: data questions

Postby Andrew MultiCharts » 29 Dec 2014

Another question. Does ASCII mapping support mapping of multiple resolutions of a symbol. Say I have tick data for AAPL in one file and minute data in another file. Both files are named AAPL.csv and reside in different directories. Can I map both? I am finding that when I map one resolution and then map the second resolution, the prior resolution that was mapped disappears. In other words, if I map the tick resolution and then map the minute resolution, I am no longer able to bring up sub-minute interval charts of the symbol.
If you want different resolutions, you will need different symbol names in QuoteManager. When you use ASCII mapping you can configure what to use to generate symbol name. If symbols are different, you can use 1 symbol for tick data and another symbol for minute data.


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