Tag Archives: end-of-day

Need new end of day feeds for quant analytics and my high frequency trading platform

Need new end of day feeds for quant analytics and my high frequency trading platform

Hi,
I am having some problems with my current end of day data feeds for NYSE, NASDAQ, AMEX and OTCBB. My options are fine. I may have to replace them shortly unless they can repair a few problems, specifically new issue handling and too many missing quotes.
Are there any recommendations for vendors that could be shared?
Regards

 

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Eoddata.com is wht i use

 

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i want to get stock end-of-day price from NYSE. i want to do this automatic,by API or something like this

i want to get stock end-of-day price from NYSE. i want to do this automatic,by API or something like this. does any one know from where can i take thta info? from NYSE?

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Han Wang • http://ichart.finance.yahoo.com/table.csv?s=<your symbol here>&d=7&e=19&f=2011&g=d&a=0&b=3&c=1950&ignore=.csv

a = start month, 0 = Jan
b = start day
c = start year

d = end month, 0 = Jan
e = end day
f = end year

Then parse out the csv lines for what you want to do.

Microsoft from 3/13/1986 to 8/19/2011

http://ichart.finance.yahoo.com/table.csv?s=MSFT&a=02&b=13&c=1986&d=07&e=19&f=2011&g=d&ignore=.csv

 

My earlier post was pretty hacked together, here’s a clearer explaination with Java supporting code:

http://hanwangquant.blogspot.com/2011/08/using-yahoos-historical-price-api.html

 

, you may try for a start, the following spreadsheet:http://alphapowertrading.com/Yahoo4.xls

Simply follow the instructions on the first tab to add, delete or modify the list of stocks. The spreadsheet comes from the old web site: http://www.gummy-stuff.org/Yahoo-data.htm , the author has retired but there is link to the archived site.

Hope it can help answer your question.

 

 

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successful end-of-day algorithms just don’t do well on 30-minute or hourly data

wonder why my successful end-of-day algorithms just don’t do well on 30-minute or hourly data. Anyone with same experience or thoughts?

6 days ago

 

MyTechTrades Home Page mytechtrades.com

Home Page for MyTechTrades.com technical stock trading website with backtested easy systems that…

 

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in my opinion, successful EOD algorithms normally translate well into intraday trading strategies as far as defining the LONG/SHORT channels, that’s about all I can say without knowing what algorithms are used and how you apply them at the 30 minutes level.

Thank for posting this discussion and good trading

From my experience, EOD can do well using particular models that might not work well for intraday trading in many cases. The reason could be that EOD movements based on daily averaged evaluation of all inputs during a long period while intraday decisions are driven by each news input and fast traders technical signals. So that there are some methods that work better for EOD, others for intraday

When you move from EOD to M30 or H1, not everything “scales down” appropriately. In equity markets [as opposed to forex], each and every daily bar starts at a discontinuity from the previous day’s bar. For intraday bars, however, there is a discontinuity every 7/17/etc. bars. Can you algorithms handle these properly?
Also, while the difference between a day’s close and the next day’s open remains the same in dollars, it is much larger (for hourly bars) in terms of average bar size (e.g. ATR). Finally, commissions and/or spreads may now “eat up” more of your trade size (read: profit), taking away from gains

Momentum has a larger influence in EOD trading as compared to day trading. While some systems can handle both time-frames, I haven’t found any one system that does both well.

When you increase trading frequency, you usually do more trades and have better trading statistics but you are more influenced by micro-effects (execution) and most of all bid-offer spread versus volatility of pricechange. If your strategy changes positions a lot intraday, this bid-offer versus volatility is critical.

Thank you all for your thoughts on this. I don’t think there is any significant inconsistency among your comments. I suspect the issue of momentum signals being more effective in EOD trading than intraday trading is the essence of it. My successful EOD systems depend heavily on momentum. You can see them at www.MyTechTrades.com I will modify the systems to depend less on momentum statistics for intraday versions that I will test. Thanks again.

 

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!