disktrading.com intraday data

This is a discussion on disktrading.com intraday data within the Data Feeds forums, part of the Methods category; Sounds good, although there are some markets which have contract months that you wouldn't want included in the continuous contract ...

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Old Apr 1, 2010, 12:37am   #16
 
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Re: disktrading.com intraday data

Adamus started this thread Sounds good, although there are some markets which have contract months that you wouldn't want included in the continuous contract due to lack of volume like Crude, or other markets where you wouldn't want to trade the spot month, e.g. Eurodollars where directional trading is better on the 3rd contract out.
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Old Apr 6, 2010, 6:59pm   #17
 
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Re: disktrading.com intraday data

Quote:
Originally Posted by travis View Post
Thanks. This is good information. Here's the details of my 2 questions:

Question # 1:
I'd like to know where I can buy data for these CME Group futures: EUR, GBP, JPY, ES, YM, CL, GC, ZN. Obviously, for the same price as disktrading.com data but of a better quality, as you said in your earlier post:


Question # 2:


Thanks, this is very good and precise information. What would you say the percentage rating of the disktrading.com data reliability if you exclude volume (I don't need volume)? The reason I am so interested in knowing how good they are is that I based all of my back-testing on their data (and so far the forward-testing is doing just as well as the back-testing, which would lead me to believe their data is good).
kipptrader, I am still waiting for an answer to my questions. Otherwise, what's the use of telling us there's better data vendors than disktrading (at the same price) and then not giving us any names? For now the only information you gave us is:
Quote:
...many more vendors exist for intraday data with simliar pricing. I would just look elsewhere.
What is going to take to get one link?
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Old Apr 7, 2010, 9:09pm   #18
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Re: disktrading.com intraday data

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Originally Posted by travis View Post
kipptrader, I am still waiting for an answer to my questions. Otherwise, what's the use of telling us there's better data vendors than disktrading (at the same price) and then not giving us any names? For now the only information you gave us is:

What is going to take to get one link?
Check the data resources at http://www.quantitativetradingsystem...#dataproviders under the Historical Data section or at http://coreyhoffstein.com/automated-trading-resources/ under Historic Data.

I have used personally or for work just about every feed around, so if you have specific question about any feed, let me know.
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Thanks! The following members like this post: Yamato
Old Apr 7, 2010, 10:24pm   #19
 
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Re: disktrading.com intraday data

Oh good... finally. Thank you. Of course at this point, I had bought most of the data (CAD, AUD, CHF, NG, SB) from Disktrading.com... and actually I was satisfied for all futures except two of them which they don't have (only for 5 hours instead of 20 hours a day): Corn and Soybean. Initially I had problems with other symbols, but they wrote me and sent me the good data, and now I will use your great links to try and find a good data vendor for just those two symbols, ECBOT's Corn and Soybean futures.

One more thing about disktrading.com. For having paid them 50 dollars for those few symbols I complained about (with other companies it would have cost me thousands of dollars), they were extremely helpful: they sent me several emails, explaining me what the problem was (they thought I wanted the forex data), sending me the futures data for those three currencies, and offering a refund for Corn and Soybean (because they don't have the data after the open outcry hours).

So far the other data vendors are selling for 1000 dollars what disktrading.com is selling for 20 dollars. There's really no comparison. No quality could justify such a difference.
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Last edited by Yamato; Apr 7, 2010 at 10:30pm.
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Old Apr 9, 2010, 4:24pm   #20
 
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Re: disktrading.com intraday data

Adamus started this thread OK so I downloaded all the omz files from disktrading for the 10 forex pairs I bought. Once I've got them into TS, what kind of sanity checks do I need to do on the data?

I guess spikes in the data are the main worry, although missing periods would also be a concern if they are extended, especially if in peak trading hours.

Not sure I have time to check all that though - I'm flying by the seat of my pants now.
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Old Apr 9, 2010, 6:43pm   #21
 
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Re: disktrading.com intraday data

I don't think you are asking me, because as I said, all errors cancel each other. If there's data missing, one trade may last 3 days instead of 6 hours, but what you lose or win on that trade will be compensated by another wrong trade. And all in all, out of 200 trades, those wrong trades due to holes in data are just about 5 to 10.
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Old Apr 11, 2010, 2:11pm   #22
 
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Re: disktrading.com intraday data

Adamus started this thread The question was directed at everyone, but I suspected you'd reply because I'm pretty sure you said you had found holes in the data. I wasn't sure whether you didn't do anything about them, or you fixed them and but didn't look for any more.
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Old Apr 17, 2010, 1:10am   #23
 
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Re: disktrading.com intraday data

Disappointed... "so-called" tick data is 1-min bar or series of ticks WITHOUT seconds (00 in all timestamps within minute)
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Old Apr 17, 2010, 3:15am   #24
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Re: disktrading.com intraday data

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Originally Posted by VovaM View Post
Disappointed... "so-called" tick data is 1-min bar or series of ticks WITHOUT seconds (00 in all timestamps within minute)
It is normal to have multiple ticks within the same one minute time stamp. Hour and minute only; no seconds.

See example tick data below from today's session:

04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,1
04/16/2010,1559,1189.00,1189.00,1189.00,1189.00,20,0
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,1
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,1
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,20
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,24
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,44
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,44
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,138
04/16/2010,1559,1188.75,1188.75,1188.75,1188.75,0,12
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,4,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,10,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,375,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,45,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,70,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,20,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,30,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,1,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,35,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,4,0
04/16/2010,1600,1189.00,1189.00,1189.00,1189.00,10,0
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Old Apr 21, 2010, 11:51am   #25
 
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Re: disktrading.com intraday data

Seriously...

Tick data should MUST have seconds AND either trade/bidask change number increment or fractions of seconds on it.

Anything less shows somebody has truncated a field.
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Old Apr 21, 2010, 9:35pm   #26
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Re: disktrading.com intraday data

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Originally Posted by RichardDale View Post
Seriously...

Tick data should MUST have seconds AND either trade/bidask change number increment or fractions of seconds on it.

Anything less shows somebody has truncated a field.
MUST have seconds is not true. Even with a seconds field, you can still have multiple prints on the same timestamp. Depending on the source, seconds or even sub second time stamps are provided, but most feed continue to use hours and minutes only.

When back-testing data such as the example I posted, the test will work on the bars (not the time).
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Old Jul 4, 2010, 11:27am   #27
 
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Re: disktrading.com intraday data

Quote:
Originally Posted by VovaM View Post
Disappointed... "so-called" tick data is 1-min bar or series of ticks WITHOUT seconds (00 in all timestamps within minute)
Thanks for the warning -- I was about to order the full dataset when I saw this. It seems you're right, and they have no plans to export the seconds/subseconds components:

http://www.ninjatrader.com/support/f...d.php?p=159785

Maybe they made an unfortunate decision on how to represent/store the time when they started collecting this data (to save disk space?), so now they have more than a decade of ticks with just HH:MM in their DB. I've often wondered why so many people seem to truncate the time to one-second resolution on tick data (ie deliberately discard information), but this takes the cake!
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Old May 21, 2012, 7:47pm   #28
 
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Re: disktrading.com intraday data

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Originally Posted by macdice View Post
Thanks for the warning -- I was about to order the full dataset when I saw this. It seems you're right, and they have no plans to export the seconds/subseconds components:

Historical Data for Backtesting - Page 2 - NinjaTrader Support Forum

Maybe they made an unfortunate decision on how to represent/store the time when they started collecting this data (to save disk space?), so now they have more than a decade of ticks with just HH:MM in their DB. I've often wondered why so many people seem to truncate the time to one-second resolution on tick data (ie deliberately discard information), but this takes the cake!
For anybody reading the thread, though the above comment may be true, please see Kipptrader's clarification just above - won't make any difference, bars are used - not time.
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Old Oct 18, 2014, 5:49pm   #29
 
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I purchased data from disktrading.com several months ago but the discs never arrived and it seems the owner Iavor Kindekov is unresponsive now. Has anyone else experienced issues with this provider?
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Old Oct 18, 2014, 6:08pm   #30
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The data should be able to be downloaded, did you not get an email with instructions ?
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