Tag Archives: data

live tick data and risk modeling book questions

I got some details questions for live tick data

More questions from email newsletter subscribers:

Best Book on Risk Models?

I got answer messed up. Sorry. I would recommend if you got the time read:

https://www.amazon.com/Management-Financial-Institutions-Wiley-Finance/dp/1118955943/ref=la_B001IGOKWO_1_6?s=books&ie=UTF8&qid=1518641477&sr=1-6

https://www.amazon.ca/Paul-Wilmott-Quantitative-Finance-Set/dp/0470018704

best but fast place to learn:

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

Would appreciate your guidance

I wanted to reach out to you to ask you for some advice & guidance. I am not a programmer, but I am trying to create a solution that will allow me to work with live tick data (Forex mainly) (to create live dashboards, currency strength, momentum etc) and historical data to conduct further analysis. 

I was thinking to feed this data into a database (I saw in your video that you are doing something similar). I wanted to get your advice as to the method of getting live tick data (something that does not cost a fortune would be ideal 🙂 ) ..  

I spoke to a freelancer who said that Jfoex api is only a java library and it would not allow me to work with live tick data.

I’ve also had a look at a few tools to connect to dukascopy to export historical tick data, its just the ‘live tick-data’ part that I am unsure about.

Any advice would be much appreciated.

My answer was:

If you just want market data use IQFeed forex option for $30/month. Do understand as part of their terms of service, you cannot redistribute this outside of your own use. If you need it for trading, always use the broker’s data to keep in synch. Also, you will need a live Dukascopy account for the live tick data but again only for your purposes. Hope this helps

More resource links here:

Get the Dukascopy video courses here

Videos

 

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

https://www.mathworks.com/solutions/financial-services/risk-management.html#risk-modeling

https://iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support&section=guide&web=iqfeed&guide=forex&web=IQFeed&symbolguide=guide&displayaction=support&section=guide&type=TENFORE

http://www.iqfeed.net/index.cfm?displayaction=data&section=fees

https://github.com/giuse88/duka

https://www.dukascopy.com/client/javadoc/com/dukascopy/api/IHistory.html#getLastTick(com.dukascopy.api.instrument.IFinancialInstrument)

Videos

64 bit version Dukascopy Forex tips with Bitcoin crypto addition

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Intrinio highly affordable market data like Quandl

Intrinio highly affordable market data like Quandl

Just like Quandl, this is highly affordable for market data. They seem new as well

https://intrinio.com/marketplace/data

From https://www.kdnuggets.com/2017/12/tensorflow-short-term-stocks-prediction.html

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INTERVIEW: A Highly Unique Approach to Short Term Trading Using Long Term Data w/ Bryan Downing

INTERVIEW: A Highly Unique Approach to Short Term Trading Using Long Term Data w/ Bryan Downing

An interview from 52 Traders but thanks to to Cam for hosting/interviewing

Here’s the coupon for sharing: quantlabsfree

115: A Highly Unique Approach to Short Term Trading Using Long Term Data w/ Bryan Downing

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TRUEFX free tick forex data?

TRUEFX free tick forex data?

I find there are lots of ‘gaps’ in these data sets. My recommendation is:

the best way to get clean historical FX data is through IQFEED. It comes from FXCM but if you pay for the TenFore option, you can get 40+ different sources

for analysis, it should be ok. if you are doing high speed stuff, you would be working off your broker data anyhow

 

This was part of my Telegram chat group

http://www.truefx.com/?page=downloads

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How Quants Seek for New Forex Data

How Quants Seek for New Forex Data

Data data data is they key behind to get your unique trading edge. I use IQFeed for that an affordable rate. Have you seen my IQFeed playlist on Youtube at youtube.com/quantlabs ?.I show what I use it for. This Bloomberg article easily confirms the importantance of this stuff.

Check out this Bloomberg article here

How Quants Scour for New Forex Data

I have just introduced a new set of podcasts which are hosted on Podbean.com. These will eventually get pushed onto Apple’s Itunes store for extra reach. Check out the my quantlabs.net/blog at the top right for the latest widget which includes my most recent podcasts. I got a bunch going up today which are synchronized with my Youtube channel at youtube.com/quantlabs

You could go here in the next 24 hours to see the massive amount going up. http://quanthabsnet.podbean.com

Just so you know, I had a few people ask a ‘combo deal’ you can find at my product page here https://quantlabs.net/analytics/. The three course listed along with my annual subscription (12*97/month) is no at a huge discount. Just choose the ‘Quant Elite FULL service” option or go here.

http://quantlabs.net/mkt/quant-elite-v2/

It is currently listed at only $797. I have a complete video on this comping later today so I will post that tomorrow.

GET THIS DEAL NOW!!

http://www.quantlabs.net/academy/?wp_eStore_subscribe=24

This also includes my Recap from last night’s webinar on making extra revenue from software consulting and trading strategies you can develop. Hold on for that.

Let me know what you think.

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How Quants Scour for New Forex Data

How Quants Scour for New Forex Data

Saeed Amen, Cuemacro founder and quant strategist, discusses his latest quant perspective

https://www.bloomberg.com/news/videos/2017-10-27/how-quants-scour-for-new-data-video

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ALL CRYPTO CURRENCY EXCHANGES – HISTORICAL ORDER BOOKS DATA

ALL EXCHANGES – HISTORICAL 10% ORDER BOOKS

This is ain’t cheap for folk but thanks to someone on my Telegram chat group

All Exchanges – Historical 10% Order Books

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My latest status on forex data from IQFeed and Dukascopy broker

My latest status on forex data from IQFeed and Dukascopy broker

A series of questions from a Quant Analytics member

 

Order Analytics

Bryan,
are you still providing data feeds?Also, how do I set up data feeds from Macro Economics and others automatically, instead of manually downloading the .csv files?

I use IQFeed for now. I would use TradingEcononmics.com as  well when needed. It also against terms of service to redistribute feeds. 

You told me to forget about IQFeed a little while ago, when earlier it was your ‘go-to’ data source. Has something changed?

I am running into server connection problems with Dukascopy so I need to use IQfeed to retrieve forex data in a non restricted way. 

https://www.youtube.com/watch?v=0GNCTGxPDjE

No response over a number of weeks from Dukacopy support which is not good: 

https://www.dukascopy.com/swiss/english/forex/jforex/forum/viewtopic.php?f=200&t=55599

 

Have you stopped collecting data from them or was this just a recommendation you had for me specifically?

See above for your answer. 

https://youtu.be/_sRFq5WDDhE

 

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Does Dukascopy limit amount of historical forex data to download

Does Dukascopy limit amount of historical forex data to download

This is a set of strange random exceptions thrown by getting to ‘greedy’ with a Dukascopy demo account. Does this happen when you have a live trading account? At this point, I will go back to using my old IQFeed Python script for unlimited forex data.

Note that this forces me to stay on Windows for the download script for my Forex data from IQFeed. I can confirm that IQFeed still does not work properly on Mac OS as of Oct 6/2017.

Exception is:

 

2017-10-05 16:11:31.144 INFO ProtocolVersionClientNegotiatorFilter – Server: DDS2 Standalone Transport Client responded with version: 4
2017-10-05 16:11:31.144 INFO ClientConnector – Child session opened for [d-ja-usa-e-97-4-b.dukascopy.com/107.21.41.150:10443], sending [<ChildSocketAuthAcceptorMessage(parentSessionId=a7ec129c-1038-48d3-bb4d-134700a1491c,timestamp=1507234289627)>], successful consequent attempt [1]
Strategy “HistoryBarsFilter1Week” Strategy ID: 5EB1734D2C5AAC6EAE735A634E65CCB1 is started at 2017-10-05 20:11:32.573 GMT on the local computer with no parameters
com.dukascopy.charts.data.datacache.DataCacheException: Failed to load in-progress candle data in timeout period [NZD/CHF, Monthly, Bid] @ com.dukascopy.charts.data.datacache.IntraperiodCandlesGenerator.getInProgressCandleBlocking(IntraperiodCandlesGenerator.java:1284)
com.dukascopy.charts.data.datacache.DataCacheException: Failed to load in-progress candle data in timeout period [NZD/CHF, Monthly, Bid]: com.dukascopy.api.JFException: com.dukascopy.charts.data.datacache.DataCacheException: Failed to load in-progress candle data in timeout period [NZD/CHF, Monthly, Bid]
at com.dukascopy.api.impl.History.getBar(History.java:208)

 

 

 

 

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Selling data to feed hedge fund computers is hottest area of finance

Selling data to feed hedge fund computers is hottest area of finance

Is this just another way of hedge funds who are not profitable. This is sort of like this ‘quants’ to enter into consulting since they most likely cannot trade well on their own

Selling data to feed hedge fund computers is one of the hottest areas of finance right now

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