Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Still Nanex, but besids needing a programmer make sure you aer preapred to HANDLE that
I ahve CME from December 2010 to now -around 600gigabyte tape files, pre prosssing.
Equity 2008 till now? 4000gigabyte.
OPRA to that - 40.000 gigabyte
THE best feed, but nothing you can deal with on a small home computer with a large CPU only - you need storage arrays with decent IO performance. Enterprise level setup. Even the CME data is not trivial to process - you may want toparalellize data extraction (obviously), but reading multiple files even from a 4 disc RAID 5 slows seriously down once you do that for 6-8 files (been there, seen that - in my case it is easier to copy them one by one to a local SSD, then process local, then delete from SSD ...).
Can you help answer these questions from other members on NexusFi?
the only one i can think of that fills your historical data needs would be tradestation.... otherwise i'd suggest sticking with IQ and downloading ASCII files. I downloaded 10+ years of ES tick data right here from futures.io (formerly BMT). you need to become an elite member though. But i can honestly say it being an elite member was easily one of the ten best investments i've made.
I have approximate answers, possible beliefs and different degrees of certainty of different things. But I'm not absolutely sure of anything and there are many things i don't know anything about.
Corinne - I have the same setup as you (IQFeed-Multicharts-IB). I assume you are interested in forex because equities and futures do not have weekend data. Here are a few comments:
The historical data in the futures.io (formerly BMT) elite section is mostly tick data for several different futures (ES, CL, TF, 6E). There is no forex data.
IQFeed provides forex data from two sources - FXCM and Tenfore (which is now owned by Morningstar)
The FXCM 1 minute data from IQFeed goes back seven years (to Feb 2005)
FXCM only provides data from 5:15 pm Sunday to 5 pm Friday - see reference page (no weekend data)
Tenfore data may be more extensive as this is a premium service from IQFeed ($50/month). You would have to ask IQFeed for details.
Personally I am very happy with IQFeed data (realtime and historical). Because the FXCM historical data is essentially free with the IQFeed basic service, you might consider simply modifying your backtesting to exclude the weekend periods.
Thanks for the info, Len. I'm thinking about excluding weekends in my backtesting too. There shouldn't be much, if any, effect on the day trades but what if I have an open swing trade that I carry over the weekend?
I also wonder how that would affect the backtest results. Wouldn't the weekend data gap somewhat distorts many of the indicator values e.g. moving averages, adx...?
Corinne - Yes price gaps over the weekend will affect open positions and indicators. If this is significant with your strategy, you can choose to delay opening any positions after the weekend until the indicators are reasonable and to close all positions by the end of the week.