Data Supported
Author: weathsearcher50000
Creation Date: 8/11/2008 7:36 AM
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weathsearcher50000

#1
Hi I will wondering if someone could tell me which data providers are supported by the software. I am looking at creating an automated system using price bars and Exptential moving averages, in the Futures market and I have looked around. There is E-Signal which only offers 90 days of historical intra-day data and current data, Primate only offers current intra-day data, but I have found a site called Anfutures.com. Can someone let me know if I can use this intra-day and historical data with Wealth-Lab? Can tick or minute-by-minute data be used?
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Eugene

#2
Since ANFutures.com claims to provide their data in "Universal ASCII text format", then the answer is yes - it's possible to import this historical data in either tick or minute scale.
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weathsearcher50000

#3
thank you
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weathsearcher50000

#4
Is there somewhere I can go to learn how to setup the data link? I am a bit confused.Are there step by step instructions for this data provider?
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Eugene

#5
QUOTE:
Are there step by step instructions for this data provider?


No, of course. Tons of ASCII data sources out there would make that impractical. Their ASCII file layouts could be found on their site: tick data, minute data.

You should find a thorough explanation in the User Guide: Data > Data Manager > Create New DataSet > Data Providers > ASCII.

Follow my screenshots illustrating how did I configure the dataset for ANFutures.com free sample data:

1) Minute data
2) Tick history

Notes:

* Don't mix minute-based files with ticks in one directory.
* Make sure you've set the correct Bar Scale when creating the ASCII dataset (Minute or Tick -- it matters).
* If the correct date/time format is not available from the dropdown list, just type it in as it appears on my screenshot.
* Filler, Security Name and Time are directly selectable using the "Add Field..." button; the Adjusted close is of type "Custom field".
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jreality

#6
I bought some ANFutures historical data. There were a couple of issues:

1) I had to find a program to merge all the ASCII files from the various contracts dates into 1 giant .CSV file. Otherwise it seems that Wealthlab can't handle treating them as 1 continuous instrument.

2) After I merged the files into 1 giant ASCII file and got it to import correctly, Wealth-Lab is unable to deal with the fact that, with this data, 0930 means that that the bar STARTS at 9:30am. Wealth-Lab treats it as if the bar that was imported for 9:30am ENDS at 9:30 which screws up everything more than I'd care to go into in this message. Is there any way around that problem? Is there any way Wealth-Lab can actaully handle importing ASCII data in which 9:30 means that the bar BEGINS at 9:30?

Thanks,

J.
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Cone

#7
1. There are at least four different ways to merge futures data, so this responsibility is yours. If we did it for you, chances are that it wouldn't be the way you want it. (I think it's a good thing that Wealth-Lab treats different symbols as different symbols. Just imagine the confusion otherwise!)

2. Well, there are 2 ways to do this one, 50-50 chance, and we picked the "wrong way". See what I mean?

Wealth-Lab has to make some assumptions, and one of them is that data are always time-stamped at the end-of-bar. There's a good chance that the ASCII data adapter could offer an option to automatically convert start-of-bar timestamps to end-of-bar, and we can put it on the ToDo list if you create a support ticket. (Notwithstanding, it will be several months before we have time to get it.)

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jreality

#8
Thanks for the response. I was able to find a work-around (albeit inconvenient) to get the data imported with the time stamp issue the way Wealth-Lab expects it. I will be entering the support ticket.

There is one other issue. It seems that, no matter what, when Wealth-Lab is set to an hourly time scale, it will always treat the first hour of the trading day as starting at 9:31 and ending at 10am for the symbol imported via ASCII. In other words the 1st hour is a half hour in length instead of the last hour being a half-hour in length as with regular Fidelity data. Keep in mind that I made sure that the data I imported is only for the regular NYSE trading session 9:31am through 16:00pm. The data is time stamped in 1 minute intervals. The time period for the data is no absoutely no different than for regular Fidelity data. However, for regular Fidelity data, Wealth-Lab treats the first hour as beginning at 9:31 and ending at 10:30am when running a strategy or displaying a chart. For the ASCII data that I imported, which has the exact same time period, I don't understand why there is a difference in what is considered to be the first hour of trading when the program is set to an hourly time scale. Any idea why Wealth-lab treats the first hour as only being a half-hour in length when the data happens to be ASCII versus Fidelity data?

Thanks,

J.
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Cone

#9
QUOTE:
it will always treat the first hour of the trading day as starting at 9:31 and ending at 10am for the symbol imported via ASCII.
That's a bug. If you would be so kind, please create a Support Ticket for that too. tia
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Aleksey

#10
Currently, the ASCII provider has a fixed start. The trading day starts at 0:00 and ends at 24:00.

We're planning to release an extension shortly that will make possible manipulating it.