Amibroker Data Provider
Mirtha Shikles
I have read that Norgate are the best, but it is too expensive for me at the moment. So, I would accept, when it is not survivor-ship bias free. But stock splits should be calculated right, and the data should be correct mostly.
Some traders compared their data to more established or institutional sources - especially going back multiple years - and reported incorrect dividends, penny rounding where stocks traded in 1/8s, missed application of dividends to divs adjusted prices, and/or plain wrong unadjusted raw prices for deep history.
(In some cases, I also have personally seen stock prices - for some isolated dates - with the decimal separator in the wrong place).
If your trading strategies are heavily dependent on accurate historical prices, I suggest trying the different services (compare also to Norgate) to see if the data variations are small enough to still give you a potential edge.
@EveryDayBetter, as I said, US stock data seems more reliable than the rest of the world. In particular I saw a trader who compared a specific stock (Citigroup), using FactSet as a reference against Tiingo and FMP, and he wrote: "Of the two Tiingo is better."
In any case, you should keep in mind that any comparison was made at a specific time, and it is possible that the data providers subsequently may have corrected their data (such as missed splits, dividends, etc.).
For example, in my experience, EODHistoricalData is quite fast in correcting wrong data if it is reported to them, but it is still a significant drawback (especially if you do not notice soon the inconsistency of the data provided).
In my view, any data provider should have a robust mechanism for detecting anomalies and the ability to check the consistency of their data sources constantly. Personally, I'm not convinced that many of them (cheap or free) can guarantee it.*
While it would be interesting to hear the experiences of other users who use these providers specifically with Amibroker, I still think it is better to do your own evaluation and draw your own conclusions.
Norgate....the best I've ever seen. But only EOD. Norgate also provides historical index compositions. Most traders underestimate the "Rate of Survivorship" effect in historical back tests over long periods of time. Norgate offers the highest quality at what I think is a very fair price.
For any users of Tiingo EOD historical data, have you been pleased with their service and the quality of the data? New to Amibroker and considering the paid service. Download through AmiQuote seems very fast. Appears better than Yahoo Finance or Stooq. Would appreciate any user experiences/input.
Thanks for noticing - my background is institutional quant trading (both at Citi and a hedge fund). I built the company (Tiingo) with an emphasis on rigorous data cleaning methodologies that automatically detect anomalies, and in case of human intervention, have a strict audit trail so a human has to write why a correction was made and when it was made. Our primary clients are enterprises, and we use those funds to give our data at cost, often a loss, to individuals as it's part of the purpose of giving back. I think sometimes people attribute cost to quality and my goal is to break that association. Thanks for sharing your friend's feedback.
You are only going to get the "other trade" data from the tick data. It is not included in the minute data so you will not see it on a minute chart unless the software is using tick data to build the minute charts. I am not aware whether or not Amibroker can do this, so you will have to refer to Amibroker support on that.
Kind Regards,
HOWEVER, IQFeed would NOT include odd lot trades in their HISTORICAL database. So as long as you let AmiBroker collect incoming data you would see those odd lots, but if you wipe all history and force backfill you would get what IQFeed does - i.e. HISTORICAL data without odd lot trades.
I have the amibroker IQfeed plugin and a Eurex/FXCM RT subscription,
I also have their direct API yearly subscription $600ish, to download XG option data, as it's much easier to download and process with python.
dtn/iqfeed they are the nicest and most helpful support team around.
My current trading systems scan & select from thousands of stocks based on liquidity, fundamentals, then I buy/sell based on signals from intraday price action, on shorter time frames. I also do something similar with crypto.
As for all your needs... you might see if there is a way to download all data from your current platform. Then keep it up to date with other data vendors. It's not easy to get 20 years history for what you are looking for.... I am looking forward for answers from others but I am afraid it might get very difficult...
What I would use in these scenarios ? I would realy question why I would need all this.... and if I do.... and I have it working on another platform allready, I do not think I would ever think about migrating to another platform. I would use AB for backtesting some idea's and when needed get the data for it, but what you are trying to do is a lot of work and will have you, for a big part, maintaining your database... That is something I do not like to do. Waste of my time
The main reason I came here is because I learned that it might be possible to have dynamic / automated walk-forward optimization built into your amibroker strategies, so they adapt themselves over time.
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If you use Amibroker, you are aware of how crucial having a quality data feed is. The quality of your data stream might mean the difference between winning and losing trades. Because of this, picking a trustworthy, accurate data stream is crucial.
Although the market is flooded with data feed providers, not all of them are made equal. Even while certain data feeds cost more than others, it doesn't always indicate they're better. In truth, even some of the priciest data sources may not be trustworthy.
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The source of the data is the second item to think about. While some data feeds obtain their information from exchanges, others do so through brokers. Data from exchanges is usually of greater quality, but they can also cost more.
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