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I have been dabbling in this and it is pretty interesting. It is a huge time sink by the way. Also, you are playing the odds and you need a certain amount of ca
by imichael 16y ago
I have been dabbling in this and it is pretty interesting. It is a huge time sink by the way. Also, you are playing the odds and you need a certain amount of cash or it will be gone before you get anywhere. If you end up trading frequently ("pattern day trading") you will be required to keep a higher balance in your account, BTW.
You might start with ninjatrader, which you can get for free. They can connect to yahoo for free price quotes (daily only), and also to some brokers for real time quotes during the day, if you have an account (I use TDAmeritrade and have been pretty happy with it).
ninjatrader has a (wacky) programming language and you can code up the conditions for buying and selling. The really neat thing is that you can run your "strategy" against historical data to see how it would have worked, and tweak it, etc.
Overall it is really painful to work with (if you are a programmer). But it does allow you to learn a lot without spending or risking any money until you think you are ready.
I believe TDAmeritrade has some kind of API you can call directly, but you have to contact them about it. Another one that I have looked at is Interactive Brokers. I haven't used them but I think they are well regarded. They are really aiming at professionals ("industrial" vs. "retail"). Possibly more what you're looking for, since they have a download page.
I would hold my nose and spend some time with ninjatrader (or something like it) just to see what's involved. You can code up your strategy and see on a chart where it would have you buy and sell, and how much you would gain or lose.
It's really pretty tricky and you should have some feel for what works and what doesn't (and when it works and when it doesn't) before you go all in.
- corruption 16y agoDo you know if there is a place to download historical "real time" data for testing?
- retube 16y agoBy "real time" presumably you mean tick data. This is generally not available for most contracts on most exchnages unless you are prepared to stump up a fair wedge of cash. However, i did once find on some russian website per-second historical data for various currency pairs - although I forget the site now. However depending on your trading strategy I doubt you'll need tick data. You may be able to find per-5-minute data for free on some stuff. And EOD is generally free for most contracts.
- arthurdent 16y agoI have also pulled 1 second bars for currency from IB. they throttle your query rate though, so it can take some time to get your data.
- nailer 16y agoTick databases large enough to do backfill testing on (a few years worth) are usually a few TB for equities markets.
- arthurdent 16y agoIn my experience, between 4-7GB compressed per day for top level regional data in US equity markets.
- zmmz 16y agohttp://datashop.deutsche-boerse.com http://datashop.deutsche-boerse.com Tick data: Price, volume, time, total volume for every options series and every futures contract - 120,00 Euro per calendar month. You would probably be more interested in top of level order book data though, thats 300,00 Euro per calendar month. Don't know of other exchanges, but seeing as the FESX is one of the most liquid products in the world it should be sufficient for testing. Check the sample.
- arthurdent 16y agoIB will give you up to 1 second resolution (open, high, low, close) for most US equity names. getting bid ask tick data is harder/more expensive to come by.