US-Stocks Database (v2)

Jim, who is a long term AmiBroker user, regularly provides an updated template that automatically sets up a database of all US stocks available from Yahoo!Finance.

The stocks are initially categorized by Market and then as Stocks, Indexes or Funds at the Group level. They are also organized into Sectors, using the Hemscott classification system.

A link to the latest message from Jim is available at AmiBrokerYahooGroup message # 119057 – "AmiBroker/Yahoo Database File":  http://finance.groups.yahoo.com/group/amibroker/message/119057

Or link directly to the site to obtain the download:

http://www.icc-az.com

Go to Links >> AmiBroker at that site (instructions are available at the download page).

After the database is setup, use AmiQuote to download data from the Yahoo Historical server (allow approximately 1/2 – 1 hour download time, using a mid speed broadband connection, per year of history).

The length of back history available varies with each symbol (the author has downloaded up to 10 years history using this template).

Typically the ticker list, as setup, will contain a couple of hundred redundant symbols (symbols that return an error message when attempting to download historical data for them). Most of the redundant symbols are .OB (over the counter stock) and are not relevant to the majority of traders. Users can elect to delete them from the database or go to the Yahoo site, or other sites, to find the cause of the ‘download error’ e.g. the stock may have been de-listed or undergone a name change .

Instructions on how to find and delete the redundant (NoQuotes) symbols can be found in the UKB post >> Setup A Custom Database – Nasdaq

Information, or discussion, on the pros and cons of using Yahoo data is included in articles in the Yahoo sub-category at the Users’ Knowledge Base:

http://www.amibroker.org/userkb/?cat=99

Further information, about using the US-Stocks database, can be obtained by searching the AmiBrokerYahooGroup message board (use an Advanced Search and enter Subject contains "US-Stocks" OR "AmiBroker/Yahoo Database" as the search criteria .

 

Version 2 – Feb 02/2008 – by Brian_z – written using Windows Live Writer – updated links to current message and new download site

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Data Resources – Australia

A list of unqualified data resources for the Australian market including EOD, Snapshot, Intra-day and Real Time data for Equities, Commodities, Forex and other instruments (some sites do provide data for the United States and International Markets that might interest international readers).

This is an unofficial resource guide. For a complete list of AmiBroker supported data providers refer to: http://www.amibroker.com/guide/h_quotes.html

The list is dynamic and subject to change without notice. It is ordered according to when the author researched the site and it is not sorted by rank or order of merit.

NOTE : MOST OF THE LINKS CONTAIN COMMERCIAL REFERENCES OR LINK TO COMMERCIAL SITES.

THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND AND RECEIVES NO GRATUITIES, OR BENEFITS, FROM ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL ACTIVITIES, RELATED TO TRADING, IN ANY WAY. THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.

THE AUSTRALIAN STOCK EXCHANGE

http://www.asx.com.au/index.htm

The Australian Securities Exchange (ASX) has over 60 information vendors who distribute a wide range of market information from the Australian Securities Exchange and Sydney Futures Exchange trading platforms.

The ASX Information Vendors Guide contains details of the products and services offered by these vendors, together with contact information and links to their websites. Link to the Information Vendors page http://www.asx.com.au/resources/information_services/index.htm to download the Vendors Guide in PDF format or search the ASX site for "Data Vendors".

 

DISCUSSION

For a discussion on ASX feeds refer to the AmiBrokerYahoo MessageBoard – message # 119228 – "best feed for ASX":

http://finance.groups.yahoo.com/group/amibroker/message/119228

For additional discussion, especially on the AmiBroker supported providers, search the board using the providers name as the "message body contains" criteria.

 

DATA VENDORS

This section summarizes the main products and services of a few of the official ASX Information Vendors. It does not include information on all products and services or all companies. Interested readers should search further by following the links to vendor sites from the Vendors Guide.

The listed providers meet one or more of the following criteria:

  • a) they are AmiBroker supported data vendors,
  • b) they are well established companies, or,
  • c) they are distinguished by a unique product or service e.g. a price advantage or hard to find data.

9) Norgate Investor Services

http://www.premiumdata.net/

Norgate is an AmiBroker supported EOD data provider of a wide range of instruments and markets.

http://www.premiumdata.net/products/datatools/price.php

a) Stock market EOD data downloaded using Premium Data:

"Quality end-of-day data for stock markets in Australia (ASX), Asia (SGX) and USA (AMEX, NASDAQ, NYSE, OTC-BB, PinkSheets). Extensive historical data is available. Hourly snapshot data is available for the ASX and SGX. Data is provided in MetaStock data format.

Stock data is organised into security types (equities, indices, warrants, options) and can be organised into custom folders which allow you to segregate listings into categories such as index participation, sector, industry group, dividend-paying-shares. World Indices are provided free with any subscription".

Australia: http://www.premiumdata.net/products/premiumdata/asxlayout.php

Singapore: http://www.premiumdata.net/products/premiumdata/sgxlayout.php

United States: http://www.premiumdata.net/products/premiumdata/uslayout.php

World Indices: http://www.premiumdata.net/products/premiumdata/worldindiceslayout.php

b) Futures market EOD data downloaded using DataTools:

"Data is also provided for 86 highly liquid futures markets in Australia (SFE), Asia (HKEX, KSE, SGX), Canada (Mx, WCE), Europe (Eurex, ICE Futures Europe, LIFFE) and the US (CBOT, CME, COMEX, KCBT, NYMEX, ICE Futures US). Coverage includes precious metals, currencies, indexes, interest rates, bonds, energy commodities, agricultural commodities. Futures data is available in individual, spliced continuous and back-adjusted continuous contract forms and extensive historical data is available. Data is provided in ASCII and MetaStock data formats":

http://www.premiumdata.net/products/datatools/futures-coverage.php

c) Foreign exchange EOD data downloaded using Premium Forex:

"Foreign Exchange (FOREX) data covers 82 currency pairs on an end-of-day basis. Data is provided in ASCII and MetaStock data formats. Extensive historical currency data back to 1991 is available":

 http://www.premiumdata.net/products/forex/coverage.php

A free fully functional six month trial is available for all of the supported markets comprising six months historical data plus three weeks of daily updates. 

Norgate Investor Services data is well integrated with AmiBroker: http://www.premiumdata.net/support/amibroker.php

8) Interactive Brokers

http://www.interactivebrokers.com/ibg/main.php

Interactive Brokers (IB) is an AmiBroker supported trading platform: http://www.amibroker.com/ib.html

The interface to the IB server is via Trader Work Station (TWS), a Java-based application.

"Trade over 70 market centers worldwide in a single IB Universal Account covering options, ETF, warrants, futures, forex,stocks and bonds etc".

IB also operates branches in Canada and the UK and maintains some foreign language sites:

http://individuals.interactivebrokers.com/en/ibglobal_sites.php?ib_entity=llc

Non-US residents are accepted as account holders in the US.

RT data is bundled with TWS, prices depending on trading activity and the exchanges traded.

http://individuals.interactivebrokers.com/en/accounts/fees/marketData.php?ib_entity=llc

Australia is included in the Asian Region (mandatory exchange fees apply).

Note: click on the Asian tab at the link above to view the Asian Region details.

IB is enabled for automated trading:

"APIs allow traders to develop sophisticated algorithmic trading solutions using Java, C++, VB or ActiveX, which take advantage of IB’s high speed order routing functionality and broad market depth. IB also supports the industry-standard FIX protocol for clients who connect via our CTCI (computer-to-computer interface)".

 

7) Quote Tracker

QuoteTracker is an AmiBroker supported provider of budget priced Real Time data.

http://www.amibroker.com/qtracker.html

"QuoteTracker is a Windows program that integrates with various data-feeds, brokers and financial sites to provide you with streaming real-time quotes. It also ties into major brokers to give you full Integrated trading from within the software".

It is available for free, as ad sponsored software, or as a paid registered version.

Data is accessed from Quote Tracker by AmiBroker via a dedicated plug-in.

A wide range of instruments are supported (Stocks, Options, Indices, Futures, FOREX/Currencies, Bonds, etc) depending on the data-feed provider.

Historical data is available for up to 60 days for the paid version or not available/limited for the ‘free’ version, once again depending on the provider and the type of data used (historical tick data is time limited compared to minute data).

Several sources of ASX data are included in the approved providers list, including some popular brokers:

http://www.quotetracker.com/qsources.shtml

 

6) PhoenixAI

Unlimited Real Time All The Time equities and options data for the ASX. Time limited and symbol limited plans are also available.

World currencies from Reuters is an optional extra.

https://secure.phoenixai.com.au/pai/main/Plans.php

AmiBroker connection is via a DDE link only (no backfill).

One year of historical data can be manually exported, as text, on a symbol by symbol basis. (EOD or Intraday or both????)

The first months subscription is heavily discounted for new users.

To subscribe to the first month at discounted rates:

  • a) Click on Activate from the PhoenixAI Home Page side bar.
  • b) Select No (I do not have an activation code).
  • c) Fill in your personal details (a valid credit card is required).
  • d) Proceed with the subscription (an activation code will be provided and a credit for the first month will be included in the final invoice).
  • e) Print the account details etc before closing out (registration details will be emailed immediately).

Note: Carefully record the details and your start date. If you are unhappy with the product or service notify support[at]phoenixai.com.au to close the account within 21 days of the initial subscription and no further charges will accrue above and beyond the first months discounted fee.

 

5) eSignal

http://www.esignal.com/

eSignal is an AmiBroker supported provider.

http://www.amibroker.com/esignal.html

The available packages include Real Time and EOD data for for multiple markets and instruments.

http://www.esignal.com/esignal/matrix/matrix_data.asp

EOD data is adjusted for splits but not dividends.

Their software includes DDE compatibility and data export features.

Data for the ASX is available with all eSignal subscriptions (eSignal Premier/Premier Plus/EOD) as an inclusion in the Asia/Pacific Region module.

Note: eSignal does not have access to ASX Exchange Traded Options and they are not included in the eSignal Premier Plus options package.

The pricing structure comprises a one-off licence, or base fee, plus an additional fee for nominated exchanges (the exchange fee is mandatory as it is imposed on the providers by the exchanges). This has advantages for Australian users who follow more than one market, or trade various instruments e.g. the US equities exchanges can be added to the base subscription as a second market for a small additional fee).

http://www.esignal.com/esignal/pricing/exchcalc.asp

Historical data is available for all subscriptions.

Category Daily Intraday/Interval2 Tick
North American Stocks 15 + Years 120 Days 10 Days
North American Futures Varies by Contract, as much as 9 years1 120 Days 10 Days
North American Options Up to 1 year (database initiated 11/3) n/a n/a
North American Indices 10 + Years 120 Days 10 Days
Mutual Funds/Money Markets 10 + Years n/a n/a
European Equities and Indices 5 – 10 + Years 60 Days 10 Days
Asia Pacific Equities and Indices 2 – 5 + Years 60 Days 10 Days
European/Asia Pacific Futures Varies by Contract, as much as 9 years1 120 Days 10 Days
Forex (bid/ask data only) 20 + Years on major issues 120 Days 10 Days
GovPx Treasuries 6 months 120 Days 10 Days

eSignal overs new customers a 30 day trial period:

http://www.esignal.com/esignal/specials/default.asp#30day

For additional information refer to the eSignal Knowledge Base:

Note: Clicking on Support >> Customer Support at the eSignal Home Page will take readers to the Support Page where there is a second Support button (referred to in ‘b’ above).

To refer to an alphabetical list of Australian symbols:

  • a) Go to the Knowledge Base.
  • b) Click on the Show Nav icon to open a KB Index in the left-hand sidebar.
  • b) Pick Symbols Guide from the index, and select article #2739 Symbol Directory and Reference List (the directory page will open).
  • c) Open article #2737 Asian/Pacific Stocks from a link near the top of the Symbol directory (the link is included under the Europe / Africa / Asia / South America / Pacific Stocks and Indices heading).
  • d) Click on the link near the top of the page that leads to Asia / Pacific A to Z Stock Symbol Listing (this opens an indexed list of alphabetically sorted symbols in their regional groupings).
  • e) Scroll down to the Australian section of the Asian/Pacific Region.

A short cut to the Symbol Directory is attached: http://www.dbc.com/SymbolLookup/International/Top/inter.htx?source=blq/dbc_trading#Asian.

 

4) Weblink

http://www.weblink.com.au/

Historical tick data for ASX equities (7 years) and indices (6 months) in CSV format.  Available as daily files. Historical data is shipped on CD and daily updates are by download.

 

Q. Can I obtain a sample of the data?

A. Yes, a small typical file is available via email.

 

Q. Is the data raw or filtered ticks?

It is raw tick data.  Any wrong ticks are corrected by the ASX with a cancel.   The file includes  the cancels. We don’t make that decision – the ASX does.

 

Q. Can I order online?

A. No, orders are only accepted by phone, fax or email.

 

Q. Is the data in individual files or one large file?

It is one file per day, as per the sample, with all traded stocks included.

 

Q. How big are the files?

A. They are only text files so they are only megabytes of data – not gigabytes.

 

Q. How will they be delivered?

The historical data is too large for download and will be shipped by CD. For the daily updates we will provide a user ID and a password to a web-site where you can download the files. You will have access to a CSV file and a zip version as well, for a smaller download.

 

Q. Do you have historical tick data for only the index (ASX200 or the All Ordinaries) component stocks?

A. Sorry we don’t have a product for this.

 

3) Cooltrader

http://www.cooltrader.com.au/

Inexpensive EOD data for the ASX, in daily Metastock or Comma Separated Value (CSV) files, delivered after hours. Fully adjusted for corporate events. Free access to end of day data at 10.00 am on the following day.

Historical data delivered on CD at a reasonable price (from 1992, format as above, de-listed stocks removed, indices back to the commencement of GIC’s sectors, including warrants and company traded options but excluding Exchange Traded Options).

 

2) Paritech

http://www.paritech.com.au/default-au.htm

Download after hours EOD data utilizing Paritech’s DataDirector software for one or multiple world markets:

  • Australian Stock Exchange (ASX)
    Sydney Futures Exchange (SFE)
    New York Stock Exchange (NYSE)
    National Association of Securities Dealers (NASDAQ)
    American Stock Exchange (AMEX)
    London Stock Exchange – Domestic
    Singapore Stock Exchange (SES)
    Overseas Indices, Foreign Exchange Rates and Futures

Format the output files to ASCII, Comma Separated Variable (CSV) or Metastock  and manage corporate actions (splits, name changes and additions) plus organize sectors (GIC’s) and favourites ( data is not dividend adjusted).

Historical data CD’s, with Data Director included, are available for all the supported markets (free with a subscription package):

  • ASX history is typically 14-16 years, plus many of the blue chip stocks and indices go back over 25 years,
  • Australian ETO’s (Exchange Traded Options) and Warrants,
  • the United States (NYSE, NASDAQ, Amex), Europe (LSE) and Singapore (SSX) markets going back over all securities approximately 10 years.

http://www.paritech.com.au/AU/products/data/renewal.asp

Note: US historical data is raw data (not adjusted in anyway).

Additional products available from Paritech:

a) COT (Commitment of Traders Reports) historical databases.

http://www.paritech.com.au/AU/products/data/cotdata.asp

http://www.paritech.com.au/AU/products/data/cotdata-history.asp

b) Unlimited real time data for the Australian markets using Paritech’s Pulse software, or via DDE functionality, that includes 50 time series live fields (no backfill or history). Exchange Traded Options are  included.

http://www.paritech.com.au/AU/products/data/pulse.asp

http://www.paritech.com.au/support/pulse/features/dde.asp

c) DataTools

EOD prices from the futures and spot markets worldwide, concentrating on the most liquid markets with 86 contracts in 13 different markets. Data Tools includes sophisticated mechanisms for the automatic creation of spliced continuous and back-adjusted continuous contracts, contract pricing and position sizing/risk management.

EOD data for Foreign Exchange – 13 spot cross-rates against the U.S. Dollar.

 http://www.paritech.com.au/AU/products/data/datatools.asp

           

1) JustData

 http://www.justdata.com.au/

EOD data for Forex, Stocks, Commodities and Futures from Australia, Asia, Europe, Africa, North and South America (stock market data from over 90 World Exchanges)

http://www.justdata.com.au/Products/BodhiFreeway/bg_data.htm#stocks

Download using JustData’s BodhiGold software in ASCII, CSV or Metastock formats or access free Yahoo data. The downloader filters and organizes stocks, as required, and also creates Indexes and Advance/Decline indicators.

ASX equity data package includes options, accurate dividend adjustment, GIC’s sector classification, de-listed stocks, bid/ask quotes and exportable current fundamental data. Choose to adjust your databases for Structural Events such as Share Splits; Distribution events such as Renounceable issues; Capital Change and Dividends.

Bodhi History includes expired symbols on the ASX since 1990 and on other Exchanges since JustData started disseminating them.

Note: most other equity markets are raw (unadjusted) data only.

Historical EOD data CD’s are available with data subscription packages or standalone. They include Equities, Indices, Income, Options, World Indices, Commodities & Forex for the major currencies (Australia, UnitedStates, Europe, Asia etc).

http://www.justdata.com.au/Products/BodhiHistory/index.htm

The future and commodity markets include continuous contracts and current contracts for all traded symbols. You can also adjust Overseas Future & Commodity data at the time of a contract swap.

 

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Data Adjustment – Yahoo

The objective of this post is to introduce readers to the basic concepts of data adjustment (how and when it is applied to historical equity data) using Yahoo data as the example.

Yahoo’s historical data is raw, unadjusted, data but Yahoo does maintain, and report, an adjustment factor to manage split events (stock splits and dividends).

To view historical data (using Caterpillar Inc [CAT] as the example):

1) Enter the symbol for any stock at the Y!Finance (US) site and select Get Quotes.

2) Click on Historical Prices in the Quotes section of the left hand menu bar and a download quotes page will open (the default view is the most recent 1 -2 months of prices).

The adjustment factor is reported, with the raw data, as Adjusted Close (AdjClose).

For the current records the adjusted AdjClose and the raw Close are the same.

DA004

Note: The records are listed from bottom to top with the most recent at the top.

The recent dividend and split history is available.

To view the events record pick the Dividends Only radio button in the SET DATE RANGE panel and click on Get Prices.

DA006

A record of dividends and splits, that go as far back as the historical data itself, will open.

DA007

To check how the adjustment has been applied, for any specific split event e.g. the 14-July-05 stock split, set the date range and Get Prices to match.

DA001

Only data within the date range specified will be downloaded.

DA002

The data can be downloaded to a spreadsheet, if required, by clicking on the Download To Spreadsheet link at the bottom of the table.

Adjustment Methodology

Yahoo adjusts the close (factor) based on the standards laid down by the Center For Research In Security Priceshttp://www.crsp.com/

The guidelines can be found by searching the site using "dividend adjustment", as the criteria, or by going to the Data Description Guide (an extract from the document is attached to the end of this post).

By default, AmiBroker downloads the AdjClose and calculates the adjusted OHL ‘on the fly’, using the adjustment factor i.e. AdjClose/Close.

For additional discussion on adjustment and an explanation of how AmiQuote calculates the OHL values refer to:

YahooAmiBrokerGroup message:  http://finance.groups.yahoo.com/group/amibroker/message/93631

 AmiBroker Knowledge Base article:  http://www.amibroker.com/kb/2007/08/04/amiquote-and-free-data-from-yahoo/

Example 1 – Agilent Technology (A) dividend:

In this example, the dividend on the 1st November, 2006 , is the first split event in recent history i.e. on 2/21/2008, the date of this post, (the Close and the Adj Close are the same up until the first ex dividend day).

For the dates preceding the split, the raw prices are adjusted by Amiquote during the download process (the adjustments, for 10/31/2006, are marked in yellow).

Note: the volume (marked in green) is not adjusted.

The adjustment factor, prior to the split date, is a constant = = AdjClose/Close.

The AdjFactor, at the dividend date = = (Close – dividend)/Close = = (35.60 – 2.057)/35.60 = = 33.54/35.60 = = 0.94

DA008

example 2 – Caterpillar Inc (CAT) 2:1 split:

In this case the split is deep in the history and prior adjustments have been made for other split events i.e. the AdjClose and the Close are different prior to the split of 7/14/2005 (refer to the attached CRSP extract that contains information on compound adjustment factors).

Note: As before the Volume, marked in green, is not adjusted. The adjustment factor prior to the split, marked in blue, is halved on the split date.

DA010

 

ATTACHED FILE:

An extract from a Center For Research In Security Prices (CRSP) guide that details some adjustment methodologies and formulas – CRSP Dividend Adjustment (extract)

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AmiQuote FAQ’s

An unsorted, unqualified list of FAQ’s relating to anything and everything to do with AmiQuote.

The list is dynamic and subject to change without notice.

 

Q1. Hi, my Amiquote crashes on Windows Vista. Sometimes after Amiquote downloads some tickers data it crashes with following message: “Quote MFC Application has stopped working”. Any suggestions?

A1. We actually tested it and AmiQuote only crashes on Vista when you are using cracked AmiBroker.
If you are using TRIAL, legal AmiBroker or REGISTERED, legal AmiBroker it works fine.

Tomasz Janeczko
amibroker.com

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Data Resources – Real Time Equity

A list of unqualified data resources with a bias towards Real Time equity data (mainly for the American market). Some of the sites do provide data for other financial instruments as well.

The list is dynamic and subject to change without notice.

The list is ordered according to when the author researched the site and it is not sorted by rank or order of merit.

CAUTION – MOST OF THE LINKS CONTAIN COMMERCIAL REFERENCES OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND AND RECEIVES NO GRATUITIES, OR BENEFITS, FROM ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL ACTIVITIES, RELATED TO TRADING, IN ANY WAY. THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.

4) Paritech

http://www.paritech.com.au/default-au.htm

A Melbourne (Australian) based provider of Real Time market data for the Australian Stock Exchange.

 Additional Products:

Unlimited real time data for the Australian markets using Paritech’s Pulse software or DDE functionality – Real Time export function – export 50 time series live fields and events out of PULSE into your own application e.g. Excel and other compatible software.

http://www.paritech.com.au/support/pulse/features/dde.asp

3) TechnicalTrends

 http://www.technicaltrends.com/

Indian stock-market data – quality end of day and intra day data for stocks, futures & commodities traded on Indian exchanges (NSE, BSE, NCDEX and MCX). Extensive historical data is available. Intra day data (30 minute) is available for ALL stocks in the NSE.  End of day data is provided in Computrac format (now popular as Metastock format)  while intra day data is in text files easily accessed by all technical analysis software. Commodities data is provided for all contracts listed on the NCDEX & MCX.  Data is available in individual, as well as continuous contracts.

2) ViraTech

http://www.viratechindia.com/index.html

Indian stock-market data – intraday data for active cash stocks, as well as ALL current month Futures Stocks & Indices. Historical data / Continuity / Offline option – with a large intraday history, you have completely continuous authentic data for over 15000 5-minute bars.

1)  eSignal

A reliable vendor for intraday data feed in Amibroker format including International baskets e.g. futures of National Stock Exchange(NSE, India).

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Data FAQ’s – Real Time Equity

An unsorted, unqualified list of FAQ’s on anything and everything to do with Real Time equity data.

The list is dynamic and subject to change without notice.

CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.  THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH. 

 

To be commenced at a future date.

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Data FAQ’s – EOD Equity

An unsorted, unqualified list of FAQ’s on anything and everything to do with EOD equity data.

The list is dynamic and subject to change without notice.

CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.  THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH. 

 

Q4. I want to set up a database for stocks from the European stock exchanges (London, UK, Germany). Who is a good data provider for these European exchanges for AmiBroker?

A1. I use Reuters Datalink for EOD European data. It provides all European data in Metastock format. I have been using Reuters for all my EOD data for some time and can recommend them.

Spa69 – AmiBrokerYahooGroup message#116895 “London stock exchange and Deutsche boerse” http://finance.groups.yahoo.com/group/amibroker/message/116895

Authors comments:

CSI is a commercial provider who specializes in US, Canadian and the UK market.

For free data, JustData and MLD Downloader are Yahoo downloaders that will provide Yahoo lists/data for Euro exchanges but
not with sector info (I’m not sure if the data is adjusted for Euro markets as it is for Yahoo American market data).
e.g MLD will download updated constituent lists for approximately 10 Deutsche indexes including the CDAX (around 600-700 stocks).
You can also (tediously) donwload consituent lists for indexes from Yahoo Germany – click on the constituent and follow the link “Aufbereitet für Tabellenkalkulationsprogramm”. Sites like the Deustche Boerse and FTSE homepage do provide ticker lists and sector classification etc but only on a pay per view basis.

 

Q3. Where can I get data for Indian Stock and commodities (MCX ncdx).

A3. Data for MCX / NCDEX and NSE and BSE is available at http://in.groups.yahoo.com/group/bse-nse2005/ . You can easily import the same into AB.

Prasanth – AmiBrokerYahooGroup message#116545      “Questions Regarding AmiBroker”   http://finance.groups.yahoo.com/group/amibroker/message/116545

 

Q2. I can’t find the Quotes Plus plug in to read a Quotes Plus database with my Amibroker version.

A2. You have to install Quotes Plus (using their CD-Rom).  AB detects the installation of key databases like TC2000, QP, and FastTrack and will include them in the plug in drop down list for your selection.

Link to a video on how to setup a QP database by AmiBroker.com  http://www.amibroker.com/video/qp3.html

Joe Landry – AmiBrokerYahooGroup message #116679   “Where’s the Quote Plus plug in ?”  http://finance.groups.yahoo.com/group/amibroker/message/116679

Video by AmiBroker.com

 

Q1. Can anybody recommend an EOD provider for equity data (American markets) ?

A1. I use a paid provider (TeleChart Gold, sometimes referred to as TC2000, TC2005, TC2007 – 29.99/mth $US provided by Worden Brothers http://www.worden.com/SoftwarePricing.aspx ). It has two huge advantages going for it, that in my view have paid for itself many
times over:

1) AmiBroker works directly against it’s database! Just install it,
then tell AmiBroker how to get to it (http://www.amibroker.com/guide/h_extsources.html ) and never worry
about your data again. AmiBroker will auto update since it keeps apointer to the actual TC2007 database.

2) It provides the “true” end of day closing values *on the day they happen*. Many data providers, possibly Yahoo – worth checking into, will only show the closing value recorded within the strict trading hours of the main exchange. If a valid regular hours day transaction gets recorded a few minutes late, it will not show up as the end of day closing value on that day. But, the next day it will show up on the historical chart as having been the actual close (e.g. if occurs on Tues but recorded a few minutes late, some providers will *not* show it as the close for Tues, but on Wed they *will* show it as having been the close for Tues).
I am not talking about extended hours trading here, I’m talking about regular hours end of day trading whose recording is delayed by a few minutes or some other cause. The phenomenon is real, I don’t know the detailed reasons as to why. When I complained to Scottrade about it, they pointed out that the trade in question was recorded at 1 minute past close, so didn’t count for their end of day data, even though they did show it as such the next day.
This makes a big difference when your trading signals are based on closing price. It can literally be the difference between placing your exit order for the next day, or missing the signal until it’s too late. Both Scottrade and Interactive Brokers suffer from this, and as a result, their charts are useless to me.
Double check your close values against the following site for a while (free quote site, not a data provider http://stockcharts.com/index.html ). Every once in a while you may find that the data you are getting from your service does not match with the one from the link above, but your service will show the corrected value the next day. In my experience, the stockcharts.com quote is always accurate on the day of the trade and is the same as what I get from TeleChart.

Mike

AmiBrokerYahooGroup  message# 116777 “Eind-of-Day Stock Data”   http://finance.groups.yahoo.com/group/amibroker/message/116777

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Data Resources – EOD Equity

A list of unqualified data resources with a bias towards EOD equity data (mainly for the American market). Some of the sites do provide data for other financial instruments as well.

This is an unofficial resource guide. For a complete list of AmiBroker supported data providers refer to: http://www.amibroker.com/guide/h_quotes.html

The list is dynamic and subject to change without notice. It is ordered according to when the author researched the site and it is not sorted by rank or order of merit.

CAUTION – MOST OF THE LINKS CONTAIN COMMERCIAL REFERENCES OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND AND RECEIVES NO GRATUITIES, OR BENEFITS, FROM ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL ACTIVITIES, RELATED TO TRADING, IN ANY WAY. THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH.

6) Paritech

http://www.paritech.com.au/default-au.htm

A Melbourne (Australian) based provider of market data utilizing Paritech’s DataDirector software.

Which Markets does Data Director Support?

DataDirector allows you to register for and download from one to multiple world markets:

Australian Stock Exchange (ASX)
Sydney Futures Exchange (SFE)
New York Stock Exchange (NYSE)
National Association of Securities Dealers (NASDAQ)
American Stock Exchange (AMEX)
London Stock Exchange – Domestic
Singapore Stock Exchange (SES)
Overseas Indices, Foreign Exchange Rates and Futures

Note: the bias is towards the Australian market and the Metastock format (all of the features listed may not apply to all exchanges – international customers should contact Paritech support for information on international data).

What format is the downloaded data in ?

DataDirector has a filter that enables you to format the output files (ASCII, Comma Separated Variable (CSV), Metastock) and to handle corporate actions (these can include splits, name changes and additions) plus Sector (GIC’s) and Favourites organization.

Where is the data sourced from?

Data is sourced, where possible, directly from the relevant Stock Exchange and also Reuters, one of the world’s leading suppliers of Real Time data feeds.

What happens if I miss a days download?

DataDirector allows you to download up to two months history data if you are unable to download for a period of time. Longer periods can be downloaded by calling our technical support staff.

How can I obtain historical data for periods longer than the two months available for downloading?

Historical data CD’s are available for all the supported markets (free with subscription packages).

The History CD for the Australian Stock Exchange (ASX) is fully back adjusted to ensure the integrity of your database is perfect. All ASX splits, ASX name changes and ASX consolidations are completed. The ASX History is typically 14-16 years, plus many of the blue chip stocks and indices go back over 25 years. History is also available for ETO’s (Exchange Traded Options) and Warrants.

History CD’s for the United States (NYSE, NASDAQ, Amex), Europe (LSE) and Singapore (SSX) markets going back over all securities approximately 10 years.

http://www.paritech.com.au/AU/products/data/renewal.asp

Additional Products:

a) COT (Commitment of Traders Reports) historical databases available.

http://www.paritech.com.au/AU/products/data/cotdata.asp

b) Unlimited real time data for the Australian markets using Paritech’s Pulse software or DDE functionality – Real Time export function – export 50 time series live fields and events out of PULSE into your own application e.g. Excel and other compatible software.

http://www.paritech.com.au/support/pulse/features/dde.asp

c) EOD and historical EOD data for:

Futures Prices – financial and commodity futures from 13 international exchanges. 
Cash Prices – major international stock indices and cash metal prices.

 http://www.paritech.com.au/AU/products/data/datatools.asp

d) EOD data for Foreign Exchange – 13 spot cross-rates against the U.S. Dollar.

 http://www.paritech.com.au/AU/products/data/datatools.asp

 

5) TechnicalTrends

 http://www.technicaltrends.com/

Indian stock-market data – quality end of day and intra day data for stocks, futures & commodities traded on Indian exchanges (NSE, BSE, NCDEX and MCX). Extensive historical data is available. Intra day data (30 minute) is available for ALL stocks in the NSE.  End of day data is provided in Computrac format (now popular as Metastock format)  while intra day data is in text files easily accessed by all technical analysis software. Commodities data is provided for all contracts listed on the NCDEX & MCX.  Data is available in individual, as well as continuous contracts.

 

4) ViraTech

http://www.viratechindia.com/index.html

Indian stock-market data – complete historical data and daily updates for all stocks at BSE, NSE and CSE including complete Futures & Options data plus exhaustive Commodity, Forex and World Market data . Metastock format automatically adjusted for Splits / Bonus / Rights / Name Changes etc. as and when they occur.

Complete Historical Data would be provided for :

  • BSE (From 1984, Sensex from 1979 with volumes)
  • NSE (From its inception in 1994)
  • US Stocks (including Nasdaq 100, S&P 500, ADR / GDR’s) comprising of almost 25 years of history!
  • 40+ World Market Indices starting from 1980
  • International (starting 1970) and National Commodity data (from Inception of Exchange’s)

3) BSE-NSE2005

http://in.groups.yahoo.com/group/bse-nse2005/

A community service Indian Yahoo Group created for the purpose of sharing data files. 

Join the forum to get Free End of Day Data for Bombay Stock Exchange {BSE}, National Stock Exchange {NSE}, Futures Data for F&O Segment of National Stock Exchange and Commodities Data for NCDEX MCX. The data includes not only the OHLC but also Delivery volumes which is a value addition and which cannot be found from data elsewhere.
We provide the Data in ASCII format and as such can be directly imported into most Charting softwares such as AmiBroker, MetaStock, etc.

2) JustData

 http://www.justdata.com.au/

EOD data for Forex, Stocks, Commodities and Futures from Australia, Asia, Europe, Africa, North and South America (stock market data from over 90 World Exchanges) http://www.justdata.com.au/Products/BodhiFreeway/bg_data.htm#stocks

Stock data is biased towards the Australian market (ASX equity data includes accurate dividend adjustment, using dividend values as recorded by the ASX, GIC’s sector classification, de-listed stock and current fundamental data).

Historical data – shipped as a CD ROM – available with data subscription packages or standalone – deep histories – Equities & Indices for international markets – Equities, Indices and Warrants for London and the major Asian and American markets – Equities, Indices, Income, Warrants and Options for the Australian market – plus World Indices – plus Futures (Commodities) & Indices for America, Europe and Asia – plus the dollar cross rates (Forex) for the major currencies.

http://www.justdata.com.au/Products/BodhiHistory/index.htm

Bodhi History includes expired symbols on the ASX since 1990 and on other Exchanges since JustData started disseminating them.

The future and commodity markets contain continuous contracts and current contracts for all traded symbols.

Choose to adjust your databases for Structural Events such as Share Splits; Distribution events such as Renounceable issues; Capital Change and Dividends (the author is not certain of this applies to all markets). You can also adjust Overseas Future & Commodity data at the time of a contract swap.

Compatible with AmiBroker (select ASCII, CSV or spreadsheet formats).

1) Commodity Systems Inc

http://www.csidata.com/

EOD and historical databases for:

  1. North American and World futures (Commodities).
  2. U.S. and non-U.S. stocks and stock indices (mainly Canada and U.K).
  3. Options on World indices
  4. Futures options.
  5. Mutual Funds.
  6. Briese’s Commitment Of Traders (COT) data.
  7. Single stock futures.
  8. Plus many fundamental and econometric series such as interest rates and housing starts.
  9. Data for de-listed stocks available by subscription.
  10. Long historical databases available.
  11. Historical inter-market correlation studies.
  12. and more.

Downloadable text files for the current constituents of the supported markets.

http://www.csidata.com/csi/exchangelist/index.html

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Data FAQ’s – Fundamental

An unsorted, unqualified list of FAQ’s relating to anything and everything to do with Fundamental data.

The list is dynamic and subject to change without notice.

CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.  THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH. 

 

To be completed at a future date.

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Data FAQ’s – Commodities

An unsorted, unqualified list of FAQ’s relating to anything and everything to do with Commodities data.

The list is dynamic and subject to change without notice.

CAUTION – SOME OF THE LINKS CONTAIN COMMERCIAL REFERENCES, OR LINK TO COMMERCIAL SITES.

NOTE: THE AUTHOR HAS NO COMMERCIAL AFFILIATIONS OF ANY KIND WITH, AND RECEIVES NO GRATUITIES OR BENEFITS FROM, ANY COMMERCIAL ORGANIZATION OR INDIVIDUAL INVOLVED IN COMMERCIAL ACTIVITIES. NOR IS HE PERSONALLY ENGAGED IN ANY COMMERCIAL UNDERTAKINGS, RELATED TO TRADING, IN ANY WAY.  THE LINKS ARE PROVIDED AS A RESOURCE AND FOR EDUCATIONAL PURPOSES ONLY. THEY ARE NOT A RECOMMENDATION, ON THE PART OF THE AUTHOR, NOR DO THEY CONSTITUTE INVESTMENT ADVICE AND SHOULD NOT BE CONSTRUED AS SUCH. 

 

Q1. Where can I get data for Indian Stock and commodities (MCX ncdx).

A1. Data for MCX / NCDEX and NSE and BSE is available at http://in.groups.yahoo.com/group/bse-nse2005/ . You can easily import the same into AB.

Prasanth – AmiBrokerYahooGroup message#116545      “Questions Regarding AmiBroker”   http://finance.groups.yahoo.com/group/amibroker/message/116545

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