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Dave Walton
2013-07-05 00:16:24
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Hi, as I'm migrating trading systems from TradeStation to QS, I'm using Premium data in QS whereas native TS data in TS. System performance results are consistently better on TS. I've dug into it and found the difference is due to the market data. I created a second symbol for QQQ called QQQ-TS in QS and when I use that, my results match exactly between QS and TS. All of this highlights how important the data source is. I was wondering if I can have multiple quote databases for system testing purposes? So if I want to switch between Premium data and TS, I can check a flag somewhere?
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QuantShare
2013-07-05 02:47:39
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Are you using the Metastock plugin for Premium data?
And what about the TradeStation data?
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Dave Walton
2013-07-05 03:10:17
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Yes, I'm using the metastock plugin for premium data. I see now that I can check and uncheck the "metastock database" option under external database. That works. Now is there any way to bulk import market data from Tradestation? If not, I'll probably just use the google downloader.
Also it might be nice to allow multiple quote databases for checking data integrity as a future feature. For example I could run a simulation across market data from different sources to check data integrity. I can do that through the switching between metastock and QS database but if I want to check other sources (Nasdaq, yahoo, google, etc) it is not clear if I can do that.
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QuantShare
2013-07-05 04:52:45
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You can have a different account for each data source. But in your case, you can have different symbols for each data source.
Example: GOOG for Premium data, GOOG-G for Data from Google... (To make it work, you will have to tweak the downloader)
Regarding data import, yes, you can bulk import.The ASCII Import tool allows you to select multiple files.
Another possibility consists of creating a downloader and referencing files/path in your hard drive instead of an URL. We will make a blog post about this next week.
We may also write another blog post about creating different symbols for each data source.
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Dave Walton
2013-07-08 01:56:08
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A blog post would be great! In the meantime, I'm trying to tweak downloaders. How do you change the symbol names? Is it doen as a prescript or somewhere else. I can't seem to figure this out.
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QuantShare
2013-07-08 10:38:10
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You should use the URL-Script if the symbol name is specified in the URL or the Pre-Script if the symbol name is included in the data.
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