Moving from TS to eSignal data...database question

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bmills313
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Moving from TS to eSignal data...database question

Postby bmills313 » 14 Mar 2010

I'm currently with TS for my data and have been saving that data to the local MC database. All charting I perform requires tick data to build constant volume bars and for several symbols I have approximately a year of historical data. Typical minute-based intraday data will not work.

I'm looking to switch to eSignal at the end of the month but their availability of tick data is really poor: 10 days. Therefore, I need to figure out how to gain access to the historical data I need and get it into the proper eSignal symbol.

What I'm wondering is how I could go about transferring the tick data I currently have on 50+ instruments under the TS symbol over to the corresponding eSignal symbol (@ES to ES #F for example).

Is it as simple as exporting the data as an ASCII file then creating the eSignal instrument in Quotemanager and importing it? If so, that's great but I have a couple questions:

1. Once I start receiving the live data from eSignal, will it just append that data to the last entry from the historical data I transferred over?

2. If I created an instrument in Quotemanager for eSignal and asked it to download as far back as it will go (10-days) could I then import the TS data I would have exported as ASCII or should I do the import first then connect the symbol? In other words, would the import process be able to detect that data from a certain point onward has already been collected and to not import that data?

3. How would the overlapping of tick data be handled? This would only be a concern for the last 10 days of data.

Could anyone at TS Support or other users that have performed a similar switch offer some help and advice? I've got some time before I make the switch but I'd like to know the proper process and start up on it in advance so I'm not sitting up on the 31st all night trying to get this done.

Thanks!

bmills

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Bruce DeVault
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Postby Bruce DeVault » 15 Mar 2010

There is a more serious problem you haven't thought of yet, which is that TS's continuous contracts e.g. @ES or @ES.D are point adjusted, while eSignal's continuous contracts e.g. ES #F are not. Thus, at the same date in the past, if it is beyond the current front contract, they won't have the same prices.

bmills313
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Postby bmills313 » 15 Mar 2010

There is a more serious problem you haven't thought of yet, which is that TS's continuous contracts e.g. @ES or @ES.D are point adjusted, while eSignal's continuous contracts e.g. ES #F are not. Thus, at the same date in the past, if it is beyond the current front contract, they won't have the same prices.
Thanks, Bruce. I don't quite understand what that is or how it affects the data but I'll have to read into it.

For the continuous contracts the only ones I track/trade actively are the 6E and ES and that's not really of concern for me as I can just trade from a chart for the front month contract, which for those 2 contracts rolls in a few days. As I need about 60-90 days at minimum for my indicator to do it's job properly it would be a few months until I could be watching those charts unless I could get a few months past data to get me up and running ASAP.

The continuous contract issue aside, is the simple export procedure I mention the proper way of going about populating the corresponding symbols for eSignal (not the continuous contracts, of course)?

Will that point adjusted issue you mention be an issue for non-continuous contracts and is there a way to possibly create a custom symbol and populate the continuous contract data that way?

Thanks!

bmills

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Bruce DeVault
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Postby Bruce DeVault » 15 Mar 2010

The non-continuous contracts will not be point adjusted - you would just need to pull them over individually if you want it to work like eSignal's ES #F (non-adjusted) and not like TS's @ES (adjusted).

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Postby bmills313 » 23 Mar 2010

I've gone in and downloaded all the data I need from TS and I'll have to wait to sign up for eSignal to create the new symbols, but I was wondering if it were possible to bypass the import/export process altogether.

What I mean...is can I simply go in to quotemanager and change the info for each of the symbols from TS as the data source to eSignal? Would this save me from having to export each symbol into ASCII, then import the ASCII data into the new corresponding eSignal symbol? Is the format of the data collected the same in eSignal as TS? I assume it would then pick up collecting the data from where the previous data collected from TS left off...

If so, that would be a HUGE time saver. I know that the continuous contracts won't transfer over properly but I'm not concerned about those, just the other symbols with specific expiration months.

If anyone @ TS can let me know or any others that have done this can confirm that this works that would be a huge help!

Thanks!

bmills

bmills313
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Postby bmills313 » 25 Mar 2010

BUMP!

Has nobody does this before? Am I the first person with Multicharts trying to switch data providers from TS to eSignal that wants to preserve the data currently in the local database?

Any help or stories of your experiences would be greatly appreciated!

bmills313
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Postby bmills313 » 31 Mar 2010

Well, in case anyone is curious or attempts a similar switch in the future, here's the follow up...

I renamed each of the symbols in the database to match the eSignal symbol name and changed the data connection to eSignal and it worked! The historical tick data I pulled from TS is still there and eSignal is just appending it's data onto the historical.

For the continuous contracts, I just abandoned the historical data and started fresh. If I need the continuous data I can find it from another user but for now it wasn't super important.

The only problem I had was in adding new symbols I had to change the abbreviation of the CBOT to ECBT as eSignal has that listed as the exchange and TS listed the exchange as CBOT. It did this with all exchanges, actually, which wasn't too big a deal just a little annoying.

I'm having an issue right now with the volume displaying from the eSignal feed but I'm almost certain that error has nothing to do with the changing of symbol names and data sources for existing data, per this topic.

I'd say thanks for the help everyone but nobody really provided me any help! J/K :P

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TJ
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Postby TJ » 31 Mar 2010

...
If anyone @ TS can let me know or any others that have done this can confirm that this works that would be a huge help!

Thanks!

bmills
you should contact technical support directly:
http://www.tssupport.com/support/contacts/

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Postby arnie » 09 May 2010

There is a more serious problem you haven't thought of yet, which is that TS's continuous contracts e.g. @ES or @ES.D are point adjusted, while eSignal's continuous contracts e.g. ES #F are not. Thus, at the same date in the past, if it is beyond the current front contract, they won't have the same prices.
Hi Bruce.

Can you explain this issue better?
For you, which way to build continuous contracts is better, TS's point adjusted or eSignal's non-adjusted?

When you mention point adjusted are you saying that if the ES June contract was closed today and tomorrow the September contract opened with a gap, that gap would be corrected because of that adjustment, whereas with eSignal, that gap would be left there since there no adjustment during the contract changes?

Regards,
Fernando

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Bruce DeVault
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Postby Bruce DeVault » 10 May 2010

This depends on what you mean by "better". There's no one completely "right" way to do this, since any one contract only trades for its own period of time - they're all artificial constructions, just in different ways.

The reason some analysts use point-adjusted data is because they want to test their ideas on longer periods of time than one contract has good liquidity. By backwards adjusting previous contracts to fit the currently trading prices (through elimination of gaps), they are able to string together more data that's in about the same price range, and has about the same characteristics, and thus, give themselves more to work with in their testing process.

A criticism of this, though, is that the adjusted data are not "real" prices. The prices when you go past the current contract aren't prices that really had trades.

As an example, let's suppose for a moment, for the sake of argument, that there's a special significance to round numbers - that 10,000 (or perhaps even every multiple of 100) on the dow futures has a special significance and that it serves as a strong support/resistance level because of the psychological value that it has, and thus, you're able to construct a meaningful strategy around breakouts or false breakouts immediately around this number, and that the dow has been above and below this number enough times that your trading system testing has significance. If that's the case, and you back-adjust the data, then when your trading system idea is looking at 10,000 in the past beyond the current contract, that's not really a value of 10,000 that actually traded but perhaps some other number somewhat above or below that, because the gaps have been eliminated from the data. The further back you go, the more "wrong" it would be. This is just one example - there are many others - imagine that you believe there's a special significance to a fib retracement %, but the retracement spans across a gap elimination for a swing trade - thus, the retracement % in the adjusted data is no longer the same as what you anticipated.

You'll most commonly see adjusted continuous contracts used for testing longer-term trading ideas that are not price-specific (e.g. don't rely on the theory of round numbers, or exact retracement percentages, etc.).

You'll most commonly see non-adjusted continuous contracts used for testing intraday "day-trading" ideas, or ideas that are price-specific.

They both have their uses. TS is the most common place people encounter "adjusted" continuous contracts, and as day-trading has become more common, we frequently see requests for TS to make available non-adjusted continuous contracts also.

In much of my past experience, we've been focused on somewhat shorter time frames and have put the emphasis on non-adjusted data because of the trade-offs involved. However, I've also seen some good analysis done on adjusted data - it all depends on what it is you're setting out to do and what suits your particular project best.


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