Getting Historical Data

Questions about MultiCharts and user contributed studies.
flipflopper
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Getting Historical Data

Postby flipflopper » 25 Jan 2010

I use IQfeed for data and they only seem to have intraday (one minute bars) for only one year back.

Where can I get maybe the past 10 years of one minute bars? I know TS has 20 years of minute bars but is there anywhere else I can get them?

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Bruce DeVault
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Postby Bruce DeVault » 25 Jan 2010

Lots of websites sell historical data.

flipflopper
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Postby flipflopper » 25 Jan 2010

care to name one?

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Bruce DeVault
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Postby Bruce DeVault » 25 Jan 2010

care to name one?

Sure. Try disktrading.com or tickdata.com or olsendata.com or eoddata.com or globalfinancialdata.com as a start, or Google for "buy historical data online." There are many vendors.

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Postby flipflopper » 25 Jan 2010

I don't come here as an alternative to google. I come here because there are others here using the same product and going through the same issues that I am.

The reason I come here is to get some informative replies from users that have experienced the same issues and have some opinionated input.

That's all.

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Bruce DeVault
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Postby Bruce DeVault » 25 Jan 2010

To that point, I haven't used any of these vendors personally specifically with MultiCharts, but I've used them in the past on various other projects, as well as a number of others over the years.

Most vendors have a process for giving you a data sample, so that you can see what fields are included, and this can help you compare from source to source.

For tick data, it's important to inquire what source the data comes from (especially for forex, where there's no standardized exchange) and you can compare for instance how many ticks there are in a given trading day from vendor to vendor, as some will have much more granular data than others.

As an example of this, FXCM has fewer ticks per day than MB Trading has for spot forex.
Last edited by Bruce DeVault on 25 Jan 2010, edited 1 time in total.

flipflopper
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Postby flipflopper » 25 Jan 2010

Thank you. That was a helpful and informative reply!

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Postby brodnicki steven » 25 Jan 2010

Of the bunch- I think disktrading.com has the cheapest data and you can buy just 1 symbol if you wish. (about $20) I think .

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Bruce DeVault
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Postby Bruce DeVault » 25 Jan 2010

Of the bunch- I think disktrading.com has the cheapest data and you can buy just 1 symbol if you wish. (about $20) I think .

I believe that's probably true that they're the least expensive for most cases.

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Postby flipflopper » 26 Jan 2010

Anywhere to get free historical minute bar data?

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Bruce DeVault
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Postby Bruce DeVault » 27 Jan 2010

As far as free historical minute data without any conditions at all, I'm not sure how that would be a viable business model, and I would question how they could put the resources into making sure the data is correct, none is missing, etc. on an ongoing basis since they have no income derived from this business activity. It's pretty common to see free daily bar data, but that's because it's 2+ orders of magnitude smaller in size, and is widely published so it likely doesn't cost whoever's giving it to you anything besides the bandwidth, which is minimal since the files are so small (unlike minute data or even more unlike tick data which can be huge).

But, you can sign up for a free trial to a data provider such as IQFeed or eSignal and use that to download historical data, which I suppose is "free", or you could open a brokerage account such as at Interactive Brokers and they provide "free" data to their account holders. You can also get in some cases data directly from the exchanges, but in this case while there may sometimes not be a cost, they usually only go back a few days.

I think it's quite important to consider the source of the data and make sure it is of high quality for whatever purpose you are using it for - after all, what good is spending hours, days, weeks, or months on research if the data that underlies it is something you're not sure enough of?

That's why for instance if you're going to be using your broker's data in real-time, often it makes sense to use the same broker's data for historical testing, if there's enough of it. Or, if you plan to use eSignal for live data, consider using only eSignal data for backtesting, etc., again, if you can do it. If you cannot do it because you need to go back further at intraday time frames than they provide, you'll want to check to make sure the data you get for historical use is similar in character to the data you will be using in real-time (each vendor / data source has their own way of dealing with bad ticks etc. and this can have a significant impact on performance especially for short term trading systems) - this is especially important for spot forex where there is no centralized exchange and the bars shown from different sources for the same date and time can vary quite considerably at small time frames because they each include different bank feeds, and thus "a few pips here" and a "few pips there" make the difference between a strategy that works and one that doesn't.

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Postby flipflopper » 28 Jan 2010

I use IQfeed but they only provide 2 years of history for the minute bars.

Are there any compatible data vendors that offer realtime data and historical minute data going back 10 plus years?

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Postby TW » 29 Jan 2010

What about Interactive Brokers? Do they provide historical minute data back to 10 plus years?
Last edited by TW on 29 Jan 2010, edited 1 time in total.

gregorio123456
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Postby gregorio123456 » 29 Jan 2010

What about Interactive Brokers? Do they provide historical minute data going back 10 plus years?


no
only 1year

jo

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Bruce DeVault
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Postby Bruce DeVault » 29 Jan 2010

You could also consider MCFX Pro as an option, which has 7 years of historical data built into the monthly price (free if you are an active trader with FXCM, or 199 usd otherwise). However, there is no access to this data from MultiCharts itself.

You also could consider using TS's minute data, which generally goes back pretty far and is fully integrated with MultiCharts (for instance, EURUSD goes back to Oct 21, 2002, and equities go back further).

Otherwise, the solution is often to buy historical data for import. There's unlikely to be a completely free lunch (e.g. high quality data for long periods for free), but there are clearly some reasonable options.

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Postby TW » 04 Feb 2010

I would like to pay and google a lot of websites, but I don't know which one's data is quality and not live data. I also got some samples from disktrading.com, but too many data gaps. I would be appreciated if someone knows a quality historical data source.

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Andrew Kirillov
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Postby Andrew Kirillov » 04 Feb 2010

You could also consider MCFX Pro as an option, which has 7 years of historical data built into the monthly price (free if you are an active trader with FXCM, or 199 usd otherwise). However, there is no access to this data from MultiCharts itself..


We made MCFX Data and auto-trading available in MultiCharts. It is not available in public installer, but we do provide the plug-in on demand. I hope it helps.

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Bruce DeVault
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Postby Bruce DeVault » 04 Feb 2010

That is an excellent option and I was just going to suggest this be added as a feature on the MC side. Thank you for taking care of this.


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