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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.
Can you help answer these questions from other members on NexusFi?
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.
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.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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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.
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
Hydra ( is a free application for downloading and storage of market data.
Hydra supports great choice of market data sources. It this topic will explain how to download the history from most popular sources: Google Finance, Gain Capital broker and …
Also somewhere (in BMT) I wrote about how to test huge strategies-indicators (mean 1m+) in parallel uses cloud computing.
