writing a script to extract data from stock ticks

[yakov]

Hi.

I know a lot of big companies make there own system which read ticks and other stock related data and decide when to buy and sell stock.
i want to create my own scirpt which i input tick data in it and it run and show me result based on the info i provided (for example, input a year/month worth of 1/5/10 min ticks, and analyses for show me if the stock went up x% over y minutes).
my question is were is to best way to start doing this?
what is the best application/software where i can create the code and input the tick data.
i am trading for a few years so i know the market and i know programming a little, so if you can point me in the right direction it will be very appreciated.
note that i am not looking for an application to buy or sell stocks based on the analysis, just to show me the results i require.
thx

 

[dom993]

Welcome to ET.

I can suggest you get started with NinjaTrader 7 ... it is free as long as you are not placing live-trades, and from your post it would be perfectly suited.

Your first goal should be to procure quality historical data ... there is a significant price-tag associated with historical tick data, in your post you seem to be somewhat confused between tick data & minute data ... tick data is transaction by transaction data, where minute data is OHLC for 1-min bars. If you subscribe to IQFeed, you'll have access to historical minute data since mid 2007 for most instruments (stocks & futures), a 1 month subscription will cost you close to nothing & you can get started. If you are really interested into historical tick data, I suggest taking a look a TickData, they have quality historical data - but this will cost you a lot.

 

[yakov]

Thx for the replay.

i heard of ninja trader, i didn't check it yet, from my knowledge trading platform with algorithm in them are usually limited and not flexible enough but i will check if it meet my requirement and update.

thx.

 

[yabz]

Hi.

I know a lot of big companies make there own system which read ticks and other stock related data and decide when to buy and sell stock.
i want to create my own scirpt which i input tick data in it and it run and show me result based on the info i provided (for example, input a year/month worth of 1/5/10 min ticks, and analyses for show me if the stock went up x% over y minutes).
my question is were is to best way to start doing this?
what is the best application/software where i can create the code and input the tick data.
i am trading for a few years so i know the market and i know programming a little, so if you can point me in the right direction it will be very appreciated.
note that i am not looking for an application to buy or sell stocks based on the analysis, just to show me the results i require.
thx

You could do it using php and mysql. Create a cron job to run a php script which would collect the data and store it in the database and then use sql to retrieve the data. This way you are not locked into any propriety system....