fortyfour
189 posts
msg #103073
- Ignore fortyfour |
10/23/2011 6:12:05 PM
I would like to do backtesting.... intraday data on only SPY (the etf). ( of course not on Stockfetcher)
http://www.grainmarketresearch.com/quick_delivery.cfm PRICE-DATA
offers 1 symbol SPY for $59 . From 1997 to present (no volume data !)
Seems ok to me. Free would be better but......I would have to learn
Interactive Brokers API in their TWS platform to access this historical intraday data for free.
Anyone have any good/bad experience with this data provider......or, know of a better
clean data source for intraday SPY that is cheap ? There are packages ( hundreds of symbols
for hundreds of dollars) but I only require SPY
Thanks.
*****************************************************************************************************
Delivery Method: Email File Download Intraday Quick deliveries
Price: $59.99
Markets Covered: Any equity contracts - futures contracts cannot be done on a quick delivery.
Enter Symbols:
No. of Symbols: 1 2 3 4 5 6 7 8 9 10
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Amount: $0.00
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Price-Data.com offers over 7 years of current Intraday Data on Equities and Exchange Traded Funds (ETFs). We offer 5, 10 and 30 minute bars in this package. Futures contracts are not available on quick deliveries. Data begins on August 1, 1997 or stock/ETF inception. Our data is in ASCII format, verified for accuracy and is versatile in most major charting programs.
Time Frames Provided:
5 Minute Bars
10 Minute Bars
30 Minute Bars
Daily Bars
Data Format: Files are Comma Delimited ASCII format with a *.txt file extension. Field order is Date, Time, Open, High, Low, Close
Example:
03/05/1996, 13:50, 25.50, 25.75, 25.35, 25.40
Sample file - 10 Minute Coca Cola (NYSE: KO)
EMAIL Structure:
We provide instructions on where to download the file from our servers within 48 hours of ordering.
Data Coverage:
Since August 1997 or company inception. Data ends at the month end prior to order date.
*****************************************************************************
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fortyfour
189 posts
msg #103118
- Ignore fortyfour
modified |
10/27/2011 9:36:26 PM
Eman,
I went ahead and purchased this data....5,10 and 30 minute SPY data back to 1997.
I use Stratasearch for backtesting daily data ( Thanks to Kevin for that reco) .
Im thinking that I can skip(remove) the time column and and reorder the dates sequentially
to simulate daily data. Removing redundant dates...for example 13 or so bars dated the same for a 30 minute
bar day.
Stratasearch is great but at this time it does not support intraday data backtesting. I have tried a sample run with Stratasearch using 1 minute free "sample" data. It does not work well with 1 minute data (a 5 bar ma xover buy/sell may be 2 cents.....not enough..) but the concept seems to generally work.
There will be some leg work to do since all their results/performance calcs are done with daily data. Their forum
moderators allude to complexities etc.. when tying to run intraday data but Im willing to give it a try.
They have a 25 year, approx 6250 bar limitation so I will have to divide the 1997-present SPY intadata into "sets"
I believe I will be able to do approx 480 days of 30 minute data for example and reach their limit.
160 days of 10 minute data and so on....
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