disktrading.com intraday data

[Yamato]

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.

 

[Adamus]

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.

 

[VovaM]

Disappointed... "so-called" tick data is 1-min bar or series of ticks WITHOUT seconds (00 in all timestamps within minute)

 

[kipptrader]

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

 

[RichardDale]

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.

 

[kipptrader]

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).

 

[macdice]

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/forum/showthread.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!

 

[batuco9]

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.

 

[z3bra]

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?

 

[Trader333]

The data should be able to be downloaded, did you not get an email with instructions ?

 

[z3bra]

I did indeed but my connection is slow which is why I ordered the blu-ray disc set... It never arrived and Iavor isn't responding anymore unfortunately.

 

[Yamato]

Don't worry about that. They're totally honest. Do not get alarmed, because they will reply. I will send you the emails I have in a private message.

...

I just did. I found 3 email addresses. I bought data from them for years and they were always on time, precise, cheap and reliable.

Either your email got lost, or he had some serious health problems. I would completely rule out dishonesty.

 

[Yamato]

OK, it is time to stop recommending this data provider.

I believe they are/were honest, but, after this summer, something happened to them, such as health problems or even legal problems, for whatever reason.

So they stopped functioning altogether. I wrote them emails, to 3 different email addresses, for the questions raised by an unsatisfied user (cf. previous posts), and indeed, they did not reply, and I've waited for over 2 weeks.

So I went to their website and look:
http://disktrading.is99.com/disktrading/



They stopped updating their website as long as 4 months ago.

Having recommended them in the past, I now have the responsibility to warn everyone not to use them. I will come back and write another post in case there are any changes.