Fast Turn around data supplier wanted

Use this forum to discuss data providers like CSI, charting, or other non testing software.
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ladidalimey
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Fast Turn around data supplier wanted

Post by ladidalimey » Thu Dec 11, 2008 10:51 am

Hi,

I need some advice about data providers. I trade from London, UK and as a result find that many of the EOD data providers are issuing their data at 1:00am GMT (e.g. CSI) which is a problem. Its a bit late and I don't trust a fully automated system.

The second issue is that the data becomes available after the open of many of the electronic markets, and so the system cannot be run and orders placed at about 22:30 GMT when most markets are closed.

At present I use a live feed from Tradestation and produce text files for TB to read, so the run can be done as soon as the markets are closed. It also allows me to tailor the electronic daily bars open and close to reflect RTH where necessary.

I'll get to the point. TS is too cumbersome and unstable as a long term solution. Is there a data provider out there that allows fast turn around and tailoring of the daily bars. I have considered ESignal but have heard negative remarks about how clean the data is.

Looking at the Bloomberg site, I can't see that they cater for these requirements. Is there a supplier that is popular with the quant hedge funds?

Many thanks,


L.

sluggo
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Re: Fast Turn around data supplier wanted

Post by sluggo » Thu Dec 11, 2008 11:11 am

ladidalimey wrote:Is there a supplier that is popular with the quant hedge funds?
For which products? North American equities? World equities? Forex? North American futures? World futures? Fixed Income? Metals? Options?

I've met a couple of quant managers who use CQG as a data supplier, but not for all the products mentioned above.

ladidalimey
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Post by ladidalimey » Thu Dec 11, 2008 12:29 pm

Sorry, dumb omission! US/European futures (Eurex,LIFFE) + HSI

L. :oops:

sluggo
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Post by sluggo » Sun Dec 14, 2008 9:56 am

I'm trying eSignal Pro, 20 minute delayed, on world futures. Hoping to construct my own daily bars with my own custom start time and stop time, and feed those daily bars into Blox. Theoretically this would let me run order generation 22 minutes after my custom chosen "market close time", which would be hours and hours before data is available from EOD vendors.

Yes, this requires custom software development, but fortunately I've included programming costs in my budget. I look at it as a straightforward way to convert (money) into (convenience). The custom start and stop times may even provide a trading edge, for example, electronic session data using pit session times.

I haven't done data-cleanliness tests yet, so I have no opinion about eSignal's superiority or inferiority to other vendors. I've signed up for essentially all their extra-cost futures data packages (for example, the London Metals Exchange addon) and pay USD 260/month total.

So far the biggest negative is that eSignal doesn't quote the South African Futures Exchange "SAFEX" in Johannesburg. I trade a few of the contracts there, so I'm pondering whether to drop those from my portfolio. Keeping them, versus finishing the trading day hours earlier, hmmm.

ladidalimey
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Post by ladidalimey » Mon Dec 15, 2008 12:27 pm

I am using RTH electronic data to back test for a couple of years (any further back and some data gets sparse) and I definately get better results than from 24hr electronic data. I would imagine, when order quantities start to increase, fills will be better (on average) when restricted to RTH.

I'm interested in the SA trading. Do you trade much outside the US/Europe?

Let me know how you get on with ESignal.

L.

sluggo
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Post by sluggo » Tue Dec 16, 2008 8:02 am

Yes I try to trade a globally diversified basket of futures, so the South African markets are especially welcome because they are especially uncorrelated to the others. Outside the traditional NYC / Chicago / Montreal / London / Frankfurt hubs, I also trade at exchanges in Minneapolis, Winnipeg, Kansas City, Paris, Madrid, Amsterdam, Stockholm, Milan, Singapore, Osaka, Tokyo, Sydney, Kuala Lumpur, and Hong Kong. Adding Seoul very soon.

Mexico City, Buenos Aires, Rio de Janeiro, Izmir, Brussels, Vienna, Warsaw, Shanghai, Mumbai, Dailan, Dubai, Budapest, Tel-Aviv, Taipei, and Zhengzhou aren't on my list for various reasons.

RedRock
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Post by RedRock » Mon Jan 19, 2009 9:10 pm

sluggo wrote:I'm trying eSignal Pro, 20 minute delayed, on world futures. Hoping to construct my own daily bars with my own custom start time and stop time, and feed those daily bars into Blox. Theoretically this would let me run order generation 22 minutes after my custom chosen "market close time", which would be hours and hours before data is available from EOD vendors.

Yes, this requires custom software development, but fortunately I've included programming costs in my budget. I look at it as a straightforward way to convert (money) into (convenience). The custom start and stop times may even provide a trading edge, for example, electronic session data using pit session times.

I haven't done data-cleanliness tests yet, so I have no opinion about eSignal's superiority or inferiority to other vendors. I've signed up for essentially all their extra-cost futures data packages (for example, the London Metals Exchange addon) and pay USD 260/month total.

So far the biggest negative is that eSignal doesn't quote the South African Futures Exchange "SAFEX" in Johannesburg. I trade a few of the contracts there, so I'm pondering whether to drop those from my portfolio. Keeping them, versus finishing the trading day hours earlier, hmmm.



How is this project going may I ask? Holidays like MLK where many markets traded solid Electronic volume... And due to the exchange date procedure of calling todays trades tomorrows trades... None of todays action is available via CSI until tuesdays "super bar" release. Ones own data factory seems like the only way to get on top of this. How have you found the data relative bad prints / spikes etc? I suppose some form of anomaly screen would have to be part of the data collection.

ladidalimey
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Post by ladidalimey » Thu Jan 22, 2009 6:10 am

Sluggo,

FYI ESiganl now offer SAFEX:

http://www.esignal.com/exchanges/eur_afr.aspx


L :lol:

sluggo
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Post by sluggo » Thu Jan 22, 2009 8:29 am

So far the project has suffered from low priority. Thanks for the heads-up on SAFEX. I am quite fond of the All-Shares Index futures, and the White Maize futures, traded there.

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Post by Anthony Marsland » Mon Feb 20, 2012 1:55 pm

Hi Sluggo,

How did this project turn out? Did you find any advantages to custom start end times?

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