Volume Traded at Price Datafeed?

[Guest TomH]

Hi,

 

I am a newbie, just arrived through a link to this site that was posted to the R stats list.

 

I would like to incorporate some of the VWAP ideas into my strategy, however the tools I use don't have access to the volume traded at price information in the video presentations. Can anyone suggest what datafeeds I need to use to get that?

 

Thanks,

 

T

[Guest TomH]

Hi,

 

I am a newbie, just arrived through a link to this site that was posted to the R stats list.

 

I would like to incorporate some of the VWAP ideas into my strategy, however the tools I use don't have access to the volume traded at price information in the video presentations. Can anyone suggest what datafeeds I need to use to get that?

 

Thanks,

 

T

 

Thinking about it, the Volume at price can be calculated from the intraday price/volume tick history, assuming I can something that will backfill.

 

I am currently using strategies written in R to generate signals, is there a platform that would manage the data backend, and allow me to query it using SQL?

 

T

[Guest TomH]

post deleted by user due to test

Edited May 8, 2009 by TomH
testing

[Guest TomH]

post delete by user, due to a test

Edited May 8, 2009 by TomH
was testing

[nickm001 10]

most of datafeed will have info.. your platform has to let yo calculate VWAP.. Platfrom that I use, Tradestation, has it, but I don't think it is something special.

[BlowFish 10]

Just about all historical data will have time price volume. Different charting apps are better or worse at managing data....most are proprietary in how they do it. There is also tendency nowadays for applications to get data on demand and simply 'cache' it to disk.

 

You may be better off managing your own data and putting it into a SQL database. I would have guessed that you should be able to find some free/inexpensive middleware to sit between the data providers api and your database. If there is no requirement to do it real time you could simple export data from a suitable charting package (usually comma delimited) and massage that. Or some data managers/charting apps will act as DDE servers (if my memory is not playing tricks).

 

I guess it depends how frequently you want to get data and whether you need real time too.

[AldPixto 10]

Thinking about it, the Volume at price can be calculated from the intraday price/volume tick history, assuming I can something that will backfill.

 

I am currently using strategies written in R to generate signals, is there a platform that would manage the data backend, and allow me to query it using SQL?

 

T

 

Can you say more about your requirements?

 

Lets say you have a table with rows of volume@price. What is your requirement for time resolution on the table columns?

- daily columns

- 30 minute columns

- 5 minute columns

 

Have you already thought out the SQL schema for your database? Can you share those ideas?

 

If the SQL tables only updates once a minute, would that latency be too long for your signals?

 

If you only want Volume@Price to calculate VWAP, could you eliminate that requirement if some data source calculated VWAP for you?

 

......

 

Some brokers can provide "free" data using their API if you have a funded active account. example: IB (Interactive Brokers)

 

Is there some way to exchange data between TradeStation's EZlanguage and another program? I don't know.

 

You can buy realtime datafeeds from eSignal or DTN, then use a program like QCollector to do timed updates of CSV datafiles. You can write a program to poll these datafiles and update a database (like mySQL or PostgreSQL.)

 

Yahoo Finance and even some exchange web sites (CME) have end of day data available for free.