Need historical data for analysis / system testing

Maybe I wasn't clear enough or we are talking about different things, so let me clarify my example.

Suppose a stock was trading in May 1990 for $5.40 on one day and $5.50 on the next (real quote at that time). In May 1995 the stock was split 2:1. On a June 1995 chart, the May 1990 quotes would show up--split adjusted--as $2.70 and $2.75.

Suppose it was split again in May 1998, 2:1. On a June 1998 chart, the May 1990 quotes would show up--split adjusted--as $1.35 and $1.38.

Suppose it was split again in May 2000, 2:1. On a June 2000 chart, the May 1990 quotes would show up--split adjusted--as $0.68 and $0.69.

Suppose it was finally split again in May 2003, 2:1. On a June 2003 chart, the May 1990 quotes would show up--split adjusted--as $0.34 and $0.34.

So, looking at a split adjusted chart with 2 digits, you would think the stock didn't move on those two days in May 1990, while in reality the price increased by almost 2%.

Quote from stylark3:

All data that I have ever worked with where splits have occurred has been adjusted on every daily level to reflect the split. So stock is trading today for 34.00 and a 2 for 1 split occurs the next
day, all prices on days before it are halfed also. So if it were 28.00
per share last week then it is now 14.00 per share for that
particular day last week and it is 17.00 per share currently.

Lets say that prices, in 6 months, rise back to 34.00 per share
from the current $17.00 and another 2 for 1 split occurs. Then,
all prices in the past are halfed again. The current price is now $17.00 again (not 8.50) and all prices in the past are halfed
again (not fourthed) as it should be. This is split-adjusted data.

Split-adjusted data reflects changes in all prices across the
board for many years back as it relates to the most recent
split. As in tne example above, $17.00 is the accurate correlation
to the most recent split and 8.50 is not.
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Ok, thanks No Worries.

I see the problem now.

I guess I didn't fully see it because I have never had to
worry about such a scenario.

I don't have a need for backtesting data so far back
in time.

I only need to test for 1 month back in time.
And, that's all that I have ever backtested for.

I really don't get why people see the need to go
so far back (unless they are investors, I guess, and
not traders -- I wouldn't know. I have always been
a short term trader).

As far as my needs go, 1 month's data is all that is required
to get a perspective on how a stock may perform near term.
 
stylark3, as someone taking the first steps in analysing markets seriously, I was wondering why you say you don't need to go back more than a year. Don't you find that some signals work well in some periods but not in others? Maybe it's to do with you trading very short term, but I know position traders who are used to one type of market (say trending bull market) often lose money for quite a while when the character of the market changes. It's not that it's impossible to make money in a different market from what they're used to --- it's just that different things work.
 
Quote from Animal Spirits:

stylark3, as someone taking the first steps in analysing markets seriously, I was wondering why you say you don't need to go back more than a year. Don't you find that some signals work well in some periods but not in others? Maybe it's to do with you trading very short term, but I know position traders who are used to one type of market (say trending bull market) often lose money for quite a while when the character of the market changes. It's not that it's impossible to make money in a different market from what they're used to --- it's just that different things work.
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Animal Spirits. That' a very tough one for me to address.
You see, I don't use signals and I don't use charts.
As a programmer also, I technically analyze the numbers only.
My programs analyzes the usual suspects (open, high, low close
volume) for the past 30 trading days.

From these programs, my stock leads are then generated.

Now, depending on whether I want to day or swing trade, I will
choose the stock that surfaces to the top of the list for the
program I ran (daytrade program leads or swing trade program
leads).

All the processing is done End of Day.

Then, I put on the trade the nextday.

My usual trade is one daytrade for one stock.
(I don't put on multiple trades. I like to stay singlely focused)

I enter the trade, anticipate making at least $1.00 per share
profit or up to sometimes $3.00 per share then I exit.

I can usually anticipate the price trading range for the day using
a top secret method which I devised based on the use of pivot
point analysis. As you might imagine, being able to predict the
daily trading range gives me a tremendous edge.

So, unforturnately I can't really give you the answer you
are looking for because the way I analyze data is in a totally
different ball park from the way most traders analyze data
via signals and indicators and the like.

Sorry.
 
Hi everyone,

I was reading through this thread and since we are on the topic of historical data I have a rather odd question. I need a historical per second price level information for NQ and ES cme minis. I am interested in charting out on per second basis the time series of bid prices for these two instruments.

End of data is abundant but useless in my research, time and sales is helpful but impossible to sort into bid/ask pairs with complete certainty.

The only source of information I found that would be of any help is the CME Datamine Market Depth in ASCII format. But as far as I know it costs upwards 1000$ for a year worth of data, and being university student I dont have such funds available. They have also been very slow at the response to my request for data for academic use. If anyone knows of where to get this data, knows of an alternative or can help in anyway, it would be much appreciated.

Warm Regards,

- Dennis

feel free to contact me @ dennis.kg(at)gmail.com
 
Quote from scrYpter:

Hi everyone,

I was reading through this thread and since we are on the topic of historical data I have a rather odd question. I need a historical per second price level information for NQ and ES cme minis. I am interested in charting out on per second basis the time series of bid prices for these two instruments.

End of data is abundant but useless in my research, time and sales is helpful but impossible to sort into bid/ask pairs with complete certainty.

The only source of information I found that would be of any help is the CME Datamine Market Depth in ASCII format. But as far as I know it costs upwards 1000$ for a year worth of data, and being university student I dont have such funds available. They have also been very slow at the response to my request for data for academic use. If anyone knows of where to get this data, knows of an alternative or can help in anyway, it would be much appreciated.

Warm Regards,

- Dennis

feel free to contact me @ dennis.kg(at)gmail.com
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OpenTick has historical book data. I have not tried the book data as yet, so I don't know how good it is. You should be able to pull what you want from the historical book data stream, but there will be a lot of data to crunch.

You will have to code to their API (Java, C++ etc etc) to get historical book data.

Also, it's free.
 
Quote from dcraig:

OpenTick has historical book data. I have not tried the book data as yet, so I don't know how good it is. You should be able to pull what you want from the historical book data stream, but there will be a lot of data to crunch.

You will have to code to their API (Java, C++ etc etc) to get historical book data.

Also, it's free.
More...


Thanks a bundle. I was just screwing around with their historical data and found everything I need. Too bad a day worth of data is 17.5 mbs, looks like an overnight job.

Thanks again!!
 
I been looking at opentick and google historical data lately.

And I have noticed that the opentick data has some big holes - long periods where no historical data is available - google's historical data looks good though and it is easy to access.

To get EOD data - use a http get like this:

http://finance.google.com/finance/h...csv&startdate=JAN+01+2006&enddate=JAN+01+2007

The result is in a simple plain text comma separated table format. There is no average price though and the data is not adjusted for splits and dividends.

I have read this on how to get intraday from Google:

http://www.smartquant.com/forums/viewtopic.php?t=5560

But I have not tried it yet.
 
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