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Quantatative Trading: Intraday Options Data and Analysis Software

  #3 (permalink)

seoul, Korea
 
Trading Experience: Intermediate
Platform: Multicharts
Broker/Data: CQG, DTN IQfeed
Favorite Futures: YM 6E
 
treydog999's Avatar
 
Posts: 895 since Jul 2012
Thanks: 291 given, 1,017 received



vitrader View Post
I am at a point in my trading journey where I want to perform backtests with the intention of implementing an algorithmic trading strategy.

I have found a source that has the data, TickData, and software to run the backtests, Multicharts.

I have a sample of the data and am running a trial of Multicharts.

Apparently TickData isn't on the supported data list of Multicharts, but I was told by Multicharts that as long as it is in ASCII format, it will work. I cannot get it to work.

I am new to programming and this aspect of trading. I asked a friend that has programming experience but doesn't have trading experience and he believes I need a database program to organize the data first. I am not sure where to go from here and am desperate for help at this point.

This is the solution that I have come up with so far, but if anyone has any other solutions, please feel free to share.

Note: I am looking to develop multiple strategies, but the main one is an intraday options strategy.

Thank you all in advance.

I believe tick data has a specific format, I haven't used them specifically. But have used commercial tick databases before, and your programming friend is right. You need to set up a data base and then populate it with tick data's data. But this is a lot of work when you are using something like multicharts. Which is really not the calibre of software that is meant to be accessing databases or use commercial services like tickdata. If you can afford tick data, which for a couple of contracts worth of data will cost you around 10k+. you can go out and buy yourself better testing software, which can handle it. You can look at kdb+ and Q language for time series data base as well.

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