Morgan8, thank you for the pointer. This search leads to the
description of the pivot points that are based on the H/L/C of the
previous period and are valid for the current time period. Thus
they also change with the start of the new time period.
The ones on the chart in the newsletter do not change every
day/week/month (at least for a few charts in different months).
Yes, new pivot lines appeared as market moved higher.
Unless I am missing something obvious, I am still interested in
the explanation of lines on these charts.
One of the slides in the daily newsletter, usually #6, is called
"SPX with Daily Pivots" and shows a number of lines. Where can I
find more information about these lines would such as their origin,
formulas, use, etc.?
I posted similar question about a week back and the only reply,
besides Tradestation, was from Michael highly recommending
IQFeed.
I have the same issue - limited historical data and constant
pacing violations. If you find something better, please, let me
know. Otherwise, I am seriously considering IQFeed - maybe, I will
do a trial with them. I noticed that their historical data for
stocks goes back only to May 2007.
Meanwhile, I don't trust IB data even inside the provided range
- not until I figure the answer to my older post regarding odd
"spikes". Run daily bars for GLD for one year from IB and see
whether it looks normal.
According to IB, historical data is limited to 1 calendar year.
There are other restrictions resulting in pacing violation (too
many requests). The following link gives some details:
I’ve encountered
an issue using historical data from IB in having large “spikes”
down on daily charts (I am looking that the data in MultiCharts 6
Beta3).
The “spike down”
shows a Low for the daily bar that is far outside the usual trading
range. As an example, I downloaded a year worth of data for GLD. I
have at least three spikes down on 9.21.09, 3.29.10, and 5.6.10.
Even disregarding May 6
th(“flash crash”), the 3.29.10 shows O:H:L:C of
$108.87:$109.17:$78.36:$108.76,
the $78.36 being in question. I have checked
Yahoo historical quotes for that day. Open and High are the same.
Close is 1c less ($108.75). The Low, however, is $108.40 – a
believable number compared to $78.36. (Stockcharts historical data
for that day matches Yahoo).
I could not look
at the minute charts – don’t have the IB data that far back.
The instrument
(GLD) is configured to SMART routing from IB. I understand that
SMART is used to route orders to the exchange that offers the best
price depending on the order type. However, it is not clear what
happens when this is used for getting historical data. While it
possible that somewhere, on some “odd-ball” exchange GLD indeed
traded at this price, how do I avoid getting this data?
I tried another
experiment. GLD is listed at NYSE Arca. I deleted and reentered the
symbol listing ARCA as an exchange (wiping out all old data) – I
assume that this will make IB provide me with data from one
exchange only. Two spikes disappeared but the one on 9.21.09 still
remained – Low of $79.00 vs. $97.73 from other sources.
Such data wrecks
havoc with trying to backtest mechanical systems. Of course, I can
go and manually delete such spikes but this requires visually
finding them. How can one be sure that other data is not erroneous,
just less obvious?
Did anyone else
encounter similar issues and what is the best way of dealing with
them?
Is there a good
source of historical data that is formatted for easy import into
MultiCharts?
Is there a
source of historical data that is split and dividend
adjusted?
How do you
handle splits on non-adjusted data when running mechanical
systems?
Thank you in
advance for any answers or suggestions.
The community is delayed by three days for non registered users.
Still interested in the pivots on charts
Daily Pivots in Newsletters
Posted by kayak5 on 23rd of Jun 2013 at 08:09 pm
Morgan8, thank you for the pointer. This search leads to the description of the pivot points that are based on the H/L/C of the previous period and are valid for the current time period. Thus they also change with the start of the new time period.
The ones on the chart in the newsletter do not change every day/week/month (at least for a few charts in different months). Yes, new pivot lines appeared as market moved higher.
Unless I am missing something obvious, I am still interested in the explanation of lines on these charts.
Thank you.
Daily Pivots in Newsletters
Posted by kayak5 on 22nd of Jun 2013 at 03:01 pm
One of the slides in the daily newsletter, usually #6, is called "SPX with Daily Pivots" and shows a number of lines. Where can I find more information about these lines would such as their origin, formulas, use, etc.?
IB but looking for something better
Multicharts with IB
Posted by kayak5 on 24th of Aug 2010 at 01:26 am
I posted similar question about a week back and the only reply, besides Tradestation, was from Michael highly recommending IQFeed.
I have the same issue - limited historical data and constant pacing violations. If you find something better, please, let me know. Otherwise, I am seriously considering IQFeed - maybe, I will do a trial with them. I noticed that their historical data for stocks goes back only to May 2007.
Meanwhile, I don't trust IB data even inside the provided range - not until I figure the answer to my older post regarding odd "spikes". Run daily bars for GLD for one year from IB and see whether it looks normal.
Data limited to 1 calendar year
Multicharts with IB
Posted by kayak5 on 23rd of Aug 2010 at 09:15 pm
According to IB, historical data is limited to 1 calendar year. There are other restrictions resulting in pacing violation (too many requests). The following link gives some details:
http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/api/historical_data_limitations.htm
IB Historical Data Issue
Posted by kayak5 on 10th of Aug 2010 at 01:17 am
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I’ve encountered an issue using historical data from IB in having large “spikes” down on daily charts (I am looking that the data in MultiCharts 6 Beta3).
The “spike down” shows a Low for the daily bar that is far outside the usual trading range. As an example, I downloaded a year worth of data for GLD. I have at least three spikes down on 9.21.09, 3.29.10, and 5.6.10. Even disregarding May 6 th(“flash crash”), the 3.29.10 shows O:H:L:C of $108.87:$109.17:$78.36:$108.76, the $78.36 being in question. I have checked Yahoo historical quotes for that day. Open and High are the same. Close is 1c less ($108.75). The Low, however, is $108.40 – a believable number compared to $78.36. (Stockcharts historical data for that day matches Yahoo).
I could not look at the minute charts – don’t have the IB data that far back.
The instrument (GLD) is configured to SMART routing from IB. I understand that SMART is used to route orders to the exchange that offers the best price depending on the order type. However, it is not clear what happens when this is used for getting historical data. While it possible that somewhere, on some “odd-ball” exchange GLD indeed traded at this price, how do I avoid getting this data?
I tried another experiment. GLD is listed at NYSE Arca. I deleted and reentered the symbol listing ARCA as an exchange (wiping out all old data) – I assume that this will make IB provide me with data from one exchange only. Two spikes disappeared but the one on 9.21.09 still remained – Low of $79.00 vs. $97.73 from other sources.
Such data wrecks havoc with trying to backtest mechanical systems. Of course, I can go and manually delete such spikes but this requires visually finding them. How can one be sure that other data is not erroneous, just less obvious?
Did anyone else encounter similar issues and what is the best way of dealing with them?
Is there a good source of historical data that is formatted for easy import into MultiCharts?
Is there a source of historical data that is split and dividend adjusted?
How do you handle splits on non-adjusted data when running mechanical systems?
Thank you in advance for any answers or suggestions.
VXX holds VIX futures
Can anyone explain this correlation to me?
Posted by kayak5 on 8th of Mar 2010 at 06:15 pm
VXX holds CBOE VIX futures. As of March 5, 2010 around 32% of March 10 and 68% of April 10.
You can find it here:
Berkshire Hathaway added to XLF
Posted by kayak5 on 6th of Mar 2010 at 07:34 pm
You can find it here: http://www.sectorspdr.com/spdr/distributions/?symbol=XLU
There is a link above the table for the .csv and .xls files that contain more detailed information such as record and pay dates, gains, etc.