disktrading.com intraday data

This is a discussion on disktrading.com intraday data within the Data Feeds forums, part of the Methods category; Thanks. This is good information. Here's the details of my 2 questions: Question # 1: I'd like to know where ...

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Old Mar 31, 2010, 7:55am   #11
 
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Re: disktrading.com intraday data

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:
Quote:
...many more vendors exist for intraday data with simliar pricing. I would just look elsewhere.
Question # 2:
Quote:
Originally Posted by kipptrader View Post
[...]
But you want to see a good high 90s (98%+) in reliability.
[...]
In the case of Disktrading, the correlation was just plain pathetic. From my past comparision of the data, it looked patched; using multiple sources over time to patch together a price history. As Sepp has said, the data is wild: too many gaps, wild price swings, and erratic volume.
[...]
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).
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Last edited by travis; Mar 31, 2010 at 8:09am.
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Old Mar 31, 2010, 10:39pm   #12
 
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Re: disktrading.com intraday data

Adamus started this thread
Quote:
Originally Posted by kipptrader View Post
My opinion is just that, my opinion. So check it out for yourself. $20 for a single symbol isn't must to run a test.
OK sure. But this will not be a comparative test, obviously - I'd need to splash out a couple of grand at tickdata.com to do that. However I'll take your word for it that there are issues with disktrading.com's data, although whether that has any impact on any trading system I'm likely to come up with, I don't know.

One way of looking at it is that mistakes in the backtesting due to bad data will even themselves out.

Of course I'd rather have perfect data, but the money to pay for it would come out of my trading capital. Whether that's a good trade-off or not, I doubt, my account size being relatively modest.
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Old Mar 31, 2010, 10:55pm   #13
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Re: disktrading.com intraday data

I would not get too hung up about data quality for use with backtesting. Remember that backtesting is only ever an approximation, because you can never know what price you will get when you trade for real. There are some people who believe that all backtesting is a waste of time.

Personally I believe it does have value for two reasons: firstly it gives you an indication of the likelihood of success with the system, but secondly and more importantly, it allows you to discover conditions which you may not have thought about when designing the system.

I would endorse disktrading's data. I have used it for a couple of years. I like the price and the range of data, and as someone said earlier, you can always email the company owner and get a friendly response. As for its accuracy - no idea, but it suits my backtesting needs.
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Old Apr 1, 2010, 1:03am   #14
 
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Re: disktrading.com intraday data

Adamus started this thread OK, I'm pretty satisfied with that point of view, not having the funds or the time to get hold of more expensive data to compare. Thanks.

It brings me back to my other question now: how are the futures continuous contracts put together? Hopefully there aren't any huge gaps at roll-over, because that would actually cause me concern.
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Old Apr 1, 2010, 1:18am   #15
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Re: disktrading.com intraday data

I think I can help with that question as well. When you buy data from them, you get a long email explaining various things. Below is an extract that talks about how he puts together the continuous futures files:

Futures data in our database is in continuous format - there is one file per symbol named after the currently most active contract and containing data from the previous contracts for the time they were most active. We do this by always collecting data for the most active contract in one file and closely comparing the trading volume to the volume of the forthcoming contract. When the new contract becomes more active than the current one, we "rollover" by re-naming the file after the new monthly contract and resuming data collection for the new one, because it is now most active.
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Old Apr 1, 2010, 1:37am   #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, 7:59pm   #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, 10:09pm   #18
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Re: disktrading.com intraday data

Quote:
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: travis
Old Apr 7, 2010, 11:24pm   #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 travis; Apr 7, 2010 at 11:30pm.
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Old Apr 9, 2010, 5:24pm   #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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