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Quantatative Trading: Intraday Options Data and Analysis Software
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.
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.
I wouldn't consider myself having deep pockets, but feel that investing in data is the right way. Of all of the places I found, TickData seems to have the most accurate data. While I'd be happy to find a better, more compatible software package, none of them that I have found other than Multicharts even support options. The few that I did find that did support options were for fund managers where the cost would be several thousand per month which I cannot afford. If you know of any alternatives, I would greatly appreciate it as I cannot find any.
Also, I did get a sample of the data from TickData and the representative from Multicharts was able to load the file onto the program so I am still unsure of the database thing.
Here is some e-mail correspondence from Multicharts:
"There is no API access to tickdata.com from MultiCharts.
ASCII import is a onetime data transfer from an ASCII file into MultiCharts database. It is possible for one file at a time.
The data will not be updated from the ASCII file automatically.
In case you have a csv file populated with data - you can setup ASCII mapping to show historical and realtime data from a csv file.
That is possible to map multiple files at a time.
ASCII mapping creates a link from the software to the ASCII file with data. ASCII mapping does not import data into MultiCharts database (Edit data window of QuoteManager will be empty). Each time you plot an ASCII mapping symbol-the data is taken from the file directly. That is possible to map multiple ASCII files at the same time. You do not need to create ASCII mapping instrument manually-it is created automatically upon mapping.
Based on the amount of data files you have – it will take some time to configure the application to get this data.
If data for a single instrument is split into multiple files – you will have to create a custom futures instrument which is a continuous data series built out of multiple individual symbols.
The best solution for you will be getting the data directly from one of the supported data providers with API access."
The problem is that none of the supported data providers provide the data that I want.
Any ideas, tips, etc. are appreciated as I have been searching for months and months and it's so frustrating because I know exactly what I want to do, but there are so many limitations.
futures.io (formerly BMT) Elite Members have access to over 10 years of historical tick data for ES, and many, many years for about a dozen other products or so.
I am looking for intraday SPY data along with the options data. Also I am looking for an affordable (subjective, I know)solution to test against. If you have a solution, I'd happily become an Elite Member.
There is tick data for SPY for 4-5 years or so I believe. It's just tick data. You can find minute and daily data anywhere. As for the options data, you'd have to ask in the main options thread and see what those guys have, I know they have a few years worth.
Let me officially say, don't become an Elite Member just for tick data. If you like the community and want to support us, become a member. It stands on its own.
This is the main selling options on futures thread:
