求助：需要一个能够提供实时全景数据的数据源

ranchgirl

加5分鼓励一下.
Diffusion 发表于 2010-7-28 17:10

thanks a lot!
I have a long long way to go.........

sd_engine

回复 20# Diffusion


    Good job! The only concern about your approach is last price and volume might not in sync. If your screening criteria is not very time sensitive, it might be OK. Also, if you want to run screening in a few minutes before market close, you might not get your results before market closes.

By the way, comparing to the data source pro and con, IB only provides up to one year's historical data. TD has more. You can get free historical quotes from Yahoo and other places though.

IB has option and Futures data that TD does not have. IB has longer intra data prices history than TD.

Diffusion

回复  Diffusion


    Good job! The only concern about your approach is last price and volume mi ...
sd_engine 发表于 2010-7-28 20:05

     钱发完了，发朵

Yes, it could be out-of-sync.

I have no idea on the sensitiveness yet. The back testing was done on end-of-day data, so I want to be as close to market close as possible. Because I need to place order before market close, I guess I have to no choice but tolerate it...

Timber

回复 23# Diffusion

google finance is real time. it should be good enough.  open prices are various depend on different sources.  high/low/close are usually ok I think.   volume is not accurate though.

Diffusion

回复  Diffusion

google finance is real time. it should be good enough.  open prices are various  ...
Timber 发表于 2010-7-28 23:52

    Thx.

And just FYI, as I detected, IB reqMktDataEx() snapshot mode has a limitation of 100 symbols per second. But beside that, there is no problem to download 6000 snapshot within 1 min.

Also it appears that the volume IB provided doesn't match that from google, yahoo, etc. I think IB provides number of hands , so I need to multiply it by 100, but even that doesn't match the number from others. Does anyone see the same problem? Thanks.

ZZzz2000

Timber

回复 25# Diffusion

差不多就行了。各家数据都不大相同。

Diffusion

回复  Diffusion

差不多就行了。各家数据都不大相同。
Timber 发表于 2010-7-29 16:10

    I just found the quality of IB data is so bad. I didn't receive any data for about 50% of the 6000 symbols, though IB did complete 6000 symbols within 1 min.

I'll try with Google portfolio and post my findings here.

sd_engine

THanks for your info about IB.

You can also try Yahoo real time by parsing the quote page. I did it a while ago. Yahoo's page response very quick. I think Yahoo uses ajax to show real time quote so you might to dig a little bit deep to find how to get the quote.

Just curious, did you use multi-threading to pull quotes?

Diffusion

THanks for your info about IB.

You can also try Yahoo real time by parsing the quote page. I did  ...
sd_engine 发表于 2010-7-29 23:48

    Thx. Yahoo realtime is a paid service, right?

It's not multi-thread. It's event-driven but single thread. I use IB ActiveX interface, it requires a windows form as a container, and you just follow the event driven programming of windows form.

sd_engine

What tool did you use for coding, .NET or C++? There is a free third party's native C# API. It just had a new release this month. Here is the link: http://www.dinosaurtech.com/utilities/

Diffusion

What tool did you use for coding, .NET or C++? There is a free third party's native C# API. It just  ...
sd_engine 发表于 2010-7-30 12:57

I'm using VS 2005, C#. Thx for sharing. I'll be a little bit busy these days, maybe later on I'll have time to dig into the third party package. I just subscribed 7 days free trail of IQFeed, and need to spend some time to play with it. What I just discovered is that the volume from Google finance is 15 min delayed...

Timber

回复 28# Diffusion

I told you, it even doesn't have all S&P 500.

Diffusion

回复  Diffusion

I told you, it even doesn't have all S&P 500.
Timber 发表于 2010-7-30 18:08

    Yes. What's astonished me is that even for AAPL, during the first 2 trading hours, IB returns no data...

Diffusion

Update: IQFeed has good data quality and download a snapshot for 3000 symbols cost me only 2.5 seconds.

IQFeed provided both socket and ActivX interface. The beauty with socket interface is that you can do multi-threading and have lighting fast downloading speed.

ksd9235

is iqfeed better than esignal in this regard?

Diffusion

is iqfeed better than esignal in this regard?
ksd9235 发表于 2010-8-3 01:23

    I did't try eSignal, have no idea....

fighton

需要一个稳定的数据源能够在收盘前给出所有股票的open, high, low, close, volume。我需要这些数据来筛选股 ...
Diffusion 发表于 2010-7-28 13:05

DING DING DING

Cobra

需要一个稳定的数据源能够在收盘前给出所有股票的open, high, low, close, volume。我需要这些数据来筛选股 ...
Diffusion 发表于 2010-7-28 13:05

    对了，你那个IQFeed, intraday的历史有多久。Say, 15 min SPY能有几个月？60 min SPY能有几个月？Thanks.

Diffusion

对了，你那个IQFeed, intraday的历史有多久。Say, 15 min SPY能有几个月？60 min SPY能有几个月？ ...
Cobra 发表于 2010-8-5 18:29

    刚试了试，SPY的1min/5min/15min/60min bar都是 从2007/4/24 到现在。