Broker/Data: Interactive Brokers, MB Trading, Tradestation for data
Favorite Futures: FX, Equities
Posts: 39 since Oct 2012
Thanks: 44 given,
MC data feed
I am using TS data in MC (equities only).
Things work well, but my vision of how they could work is different. I don't know if this is because I am not using the Multicharts Quote Manager properly, or the software and data given just doesn't do what I'd like.
1. Once you find the symbols you need and import them in MC QM, TS imports the data quickly, and without a problem.
I am updating my QM database often, and, apart from the exception I note below, load times are fast and complete.
1. One time (and one time only, as far as I could check), data was loaded in QM from TS without the volume info. My backtests were not outputting anything, that's how I found out. I deleted and reloaded the data and everything was ok.
2. It happened a few times when I was backtesting strategies on daily data, that the data changed after some time. For example, I run a test on Dec 1, and the close of a specific day for symbol X was $10. When I run the same test a few weeks later, my entry price is different, and when I check why, I see that the close for that same day changed to $10.20.
I have not yet managed to explain why this happens - my tests are the same, so it could be Tradestation changing their data, or Quote Manager playing tricks?
I've had this minor issue 3-4 times over the last few months, after running thousands of tests - I didn't check all of them, of course, but my feeling is that it's a non-issue.
3. I wish that TS could provide a list of all available symbols, including the not-traded ones (so that backtests can minimise survivorship bias). As it is, I had to search letter by letter in Quote manager to find all the symbols available.
In my opinion, such information is so easy to keep, and so important for traders, that I cannot see why it's not available.
Other info from data providers that I think would be very valuable to a systematic trader is:
a. Index components (eg the symbols that make up the S&P 500, Russell 3000) that are updated continuously.
b. Index components as at year-ends (for example, the S&P1500 as at 31 Dec 2002, with the symbol list showing the symbols as they are represented today). As an example, say symbol AAA was in the S&P600 in 2002, but the company went bankrupt since then, and Tradestation changed its name to AAA!, which is how Tradestation shows not-traded symbols. If I want to see the symbol list of the S&P600 as at Dec 2002, the list must show AAA as AAA!.
c. GICS (the classification that separates equities in sectors, industry groups etc) info for each symbol.
And Multicharts Quote Manager should have the necessary fields to keep this info.
If anyone knows of a data provider who keeps this kind of information and works well with Multicharts, please let us know!
PS I am not using the software from traderssoft you are enquiring about.
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