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Looking for backtesting and data advice
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Looking for backtesting and data advice

  #1 (permalink)
Trading Apprentice
Austin, TX
Futures Experience: None
Platform: Multicharts
Favorite Futures: Emini ES
Posts: 4 since Dec 2016
Thanks: 0 given, 0 received

Looking for backtesting and data advice

I am looking to write a custom app to be called by Multicharts or Tradestation, with a strong focus on pulling in a large number of different indicators from various sources. Some of this data will have to be stored locally, as it is not provided by brokerages or data providers.

I am currently stuck on deciding on what data feed to use and how to store data locally. I would like to set it up for both stocks and futures, with time intervals down to 1 minute, but also more historical data for longer intervals. What I have read so far is that getting clean historical data is very important for backtesting.

I currently am using Multicharts with an Interactive Brokers account and data feed. I have both regular Multicharts and Multicharts.net licenses, but have barely tapped into the power of either platform. Ideally, I would write something in Multicharts that can be ported to Tradestation if needed with little changes. I know Tradestation data goes back much further than IB, and there are other data providers like IQFeed I have seen recommended in forums, so I am open to switching brokerages or data providers if it really makes a difference in terms of quality an quantity of data.

I am curious if there is some standard for storing this data locally, especially when you are working with a large number of instruments and multiple timeframes for each instrument. Is it feasible to store all data locally, and update it on a regular basis for backtesting?

Beyond that, any suggestions for platform or tool/language for implementing my custom app would be appreciated.

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
North Carolina
Futures Experience: Beginner
Platform: NinjaTrader, Tradestation
Favorite Futures: es
Posts: 533 since Nov 2011
Thanks: 201 given, 590 received
Forum Reputation: Legendary

Not enough information, and it's going to be difficult to do something like this unless you're an accomplished software engineer. C# and SQL SERVER are obvious go to's. You might look for a specific type of no sql database well suited to time series data, as well. I've found that Ninjatrader & possibly Multicharts/MC .NET to be easier for projects like these because Tradestation is more of a closed system. IQFEED is really good. I wouldn't backtest against TWS data. For stocks, there are other considerations.

You might be able to use the built-in data provider in the program. I'm not sure about that but it could make it a lot easier. But, one thing you have to consider too is how you will align the data and/or account for any missing data.

Last edited by tpredictor; January 20th, 2017 at 04:33 PM.
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  #4 (permalink)
Market Wizard
Boca Raton
Futures Experience: Advanced
Platform: Variety
Broker/Data: Optimus Futures, LLC
Favorite Futures: Futures
mattz's Avatar
Posts: 2,153 since Sep 2010
Thanks: 2,016 given, 2,994 received

Try Rithmic with Multicharts. It should work well for futures analysis and execution.

Matt Z
Optimus Futures

There is a substantial risk of loss in futures trading. Past performance is not indicative of future results.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #5 (permalink)
Trading Apprentice
Austin, TX
Futures Experience: None
Platform: Multicharts
Favorite Futures: Emini ES
Posts: 4 since Dec 2016
Thanks: 0 given, 0 received

Thanks everyone for your replies. I hadn't even considered that Tradestation is a closed system so it might be hard to keep data locally for my own analysis purposes. The VPS suggestion is also good. I will take a look at both Rithmic and IQFeed. It sounds like there is a consensus not to use IB historical data.

Are databases typically used for historical data to make real-time trading decisions? It seems likely that the text file data format I have seen elsewhere with a single line per bar may be too slow.

I am not a software engineer, but I do have decent background with programming and scripting. I think I should be able to do most of the customizations this would require as long as the data handling does not need to be too customized. That is the biggest issue I want to make sure I make the right start on.

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  #6 (permalink)
StockSharp dev
Moscow, RU
Futures Experience: Advanced
Platform: StockSharp
Favorite Futures: ES
stocksharp's Avatar
Posts: 35 since Mar 2014
Thanks: 3 given, 13 received

We have Hydra S#.Data - a free application for downloading and storing market data. StockSharp for grabbing data and store in locally. You can try it - it is for free.

Shortly - the key question for you - from where you plan to download the data. If you have something (like OEC login, or IQFeed or Google etc) - you can use it in Hydra that will download the data and store it locally. Take a look our thread https://futures.io/platforms-indicators/41030-s-data-hydra-market-data-downloader.html

Also somewhere (in BMT) I wrote about how to test huge strategies-indicators (mean 1m+) in parallel uses cloud computing.

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