My past posts focused a lot on the mechanics of trading system development. Though we have to keep in mind: our backtests can only be as good as the data we run it on. With this post I want to take a different route and share some insight about my data providers and some of the recent improvements to the data service I use.
To understand what I use I want to give you some background about my trading systems. All trading systems are based on daily bars. My systems are using the close price to generate signals, but some of them are trading at the OPEN the next day and others are trading at the CLOSE.
The ones trading at the CLOSE do use the close price from the daily bar 15-30sec before the close and thereby anticipating the ENTRY/EXIT signal at the close. Of course this could result in an inconsistency between your current market position and your back-tested results. I’ve been doing that for a few years and it turned out not to be an issue.
To execute this setup I do need two types of data providers: one providing me with historical data and the other for real-time data. My real-time data provider is iqFeed. They are reliable and have a fast AmiBroker integration. So why do I need a second data provider: iqFeed and most of the other real-time data providers are very weak when it comes to historical data. I don’t rely on them for my backtests. One of the reasons is that I want to have an excessive long history of currently listed and de-listed stocks. And even more important I want to have correctly adjusted data.
My data provider for historical data is NORGATE / premiumdata. I’ve been using them for quite some time now. They have proven to be extremely reliable. During the time I used them I didn’t have a single day of service outage. Their service is fairly priced and VERY well integrated with AmiBroker. Though, they also have some room for improvement. With this post I want to share some of these recent improvements. Let me make one thing very clear: I’m not associated with NORGATE and I do not receive any kick-back for writing this posts.
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Data update technology has undergone significant change
- Different type of data subscriptions can be maintained in a single AmiBroker workspace, e.g. US stocks, FOREX and FUTURES. This way you don’t have to switch between databases or even use different data update tools.
- The entire database update takes less than 60 sec. and can be further automated
- The data update UI has undergone significant changes and is now more user friendly and intuitive to configure.
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Even tighter AmiBroker integration
- Data padding capabilities introduced: Allows you to repeat the close of the previous date when a time series is missing data at any given bar. There are various settings how that can be handled.
- In the past all data has been stored in MetaStock format, which turned out to be a drag on performance when handling a larger number of stocks. So this has been definitely addressed.
- Any chart annotations, trendlines etc. are retained when a security changes its symbol or exchange
- Support for 4 level GICS
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CASH dividend adjusted data
- While all data has been adjusted for major capital events, cash dividend adjustment has always been missing. You now have the option to include or exclude cash dividends from your backtest. In case you want to include it HIGH, LOW, OPEN AND CLOSE are adjusted accordingly. My next post will be focusing on the impact of cash dividend adjustments.
- Of course the cash dividend is also adjusted for stock splits and other major capital events.
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I did this post on a yet to be released version of their offering. In case you are an existing customer of NORGATE premiumdata and want to participate in their early beta, go contact NORGATE support.
Let me wrap-up this post. I really like where NORGATE is taking it’s data service offering. It’s become faster, even better integrated, got cash adjusted data and that for the same fair price. This definitely looks like as they are listening to their customers. So next on my wishlist: historical fundamentals 
– Frank
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