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method

Acquiring and Using Historical Tick Data

By method, in Beginners Forum

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method    10

method
Posted

Hey there, I need some historical data for the DJ Eurostoxx for backtesting purposes.

 

Data from as far back as possible would be excellent. I've googled some tick data vendors and two prominent ones appear to be http://www.regisdata.co.uk and http://www.tickdata.com.

 

Has anyone here had any experience with any of these vendors?

The only major difference between the two is that the former only seems to offer data from 2003 onwards, whereas the latter seems to have data from as far back as 1999. I'm not really concerned about the cost unless it costs something like 40 euros per month which is what EUREX charges!!

 

After I obtain this data, how do I use it with a charting platform like Ninjatrader? Do I have to convert it?

 

As you can see I'm new to this backtesting business and any help would be appreciated.

 

Cheers

Eric

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method    10

method
Posted

Well I'm using OEC demo right now and their eurex data only goes back a few weeks.

 

Also, I'm thinking of opening an account at infinity but apparently Sierra charts can't offer historical intra eurex data for some reason? I'm not sure if this problem exists if you use transact datafeed though.

 

thanks

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Soultrader    12

Soultrader
Posted
Well I'm using OEC demo right now and their eurex data only goes back a few weeks.

 

Also, I'm thinking of opening an account at infinity but apparently Sierra charts can't offer historical intra eurex data for some reason? I'm not sure if this problem exists if you use transact datafeed though.

 

thanks

 

Transact could be an option and pretty cost effective. What about esignal? I think you want to make sure that the datafeed you receive is clean and precise. If you are backtesting a strategy with wrong data, it can lead to disastrous outcomes. So make sure that data provider you decide on is reliable. For example, esignal is known for poor data quality so i personally can not recommend it. Reuters feed as well is not too good as they do not fix bad ticks right away. Maybe good to have two data providers?

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method    10

method
Posted

Hmm yes I'll think about that.

 

When I get the tick data, how do I convert it so that I can see it in a charting program like ninjatrader?

 

TickData says they bundle all their orders with TickWrite software, which writes a variety of ASCII formats. I gather NT can read one of these formats?

 

thanks

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method    10

method
Posted

Alright I have purchased tick data and now I need a charting platform, preferably free.

 

I tried Metastock EOD but it it doesn't chart intra day data, only EOD and above. I don't think the Pro version is worth forking out hundreds of dollars for.

 

I've tried NT, but it seems it's quite picky when it comes to data formatting and it only accepts tick data spaced between semi colons only. My tick data program, however, only produces data output with commas or colons!

 

Are there any other options out there? I don't need any complicated indicators, just candlesticks, MACD and ema....

 

cheers

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method    10

method
Posted

Yes janus, you're correct :)

 

Quick and prompt service too, you get what you pay for I suppose.

 

I'll look into Investor RT.

 

Blowfish, how would you run this data through excel? Is there a step by step method available?

 

Much appreciated,

Eric.

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BlowFish    10

BlowFish
Posted

No, you simply use the import and export options to manipulate the data. In the past I have also used a word processor to read a text file, done a search and replace and re-saved it. A bit of a kludge but are possible options.

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