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BOOK YOUR FREE STRATEGY SESSION NOW >>One of the most important elements for the proper functioning of our systematic trading strategies is undoubtedly historical data.
Inaccurate or time-limited data can lead to unreliable backtest results and, consequently, to the development of ineffective strategies.
The choice of the historical data provider is therefore a very important step for us systematic traders.
That is why today we offer you a detailed overview of the five most important data providers for systematic trading.
By watching the video you'll discover:
- What evaluation criteria should be applied when choosing a datafeed
- Our "top 5" historical data providers
- The range, quality and prices of the data offered by these providers
Enjoy the video!
Hey everyone! One of the coaches at Unger Academy here and welcome back to a brand new video!
As we systematic traders need historical data to test our trading systems, today we're going to be looking at an overview of datafeeds that can be used for systematic trading.
Okay, so during this brief presentation, we'll be examining some datafeed that can be used in systematic trading.
In order to choose the best ones, we identified a series of discriminating factors, such as: the quality of the data, the offer.... In this case, the offer regards the variety of products offered by the various providers. The cost, which is clearly an important discriminating factor.
If there are continuous contracts, because as you know, futures are maturity instruments which therefore have maturities that can vary from one month to three months, but in general they are contracts which will expire sooner or later. And consequently, in order to test the validity of a strategy also in the past, we need to string together, in some way, all the various expiry dates of futures in order to build a single contract to test our strategies on.
Another important factor is the range of historical data. Actually, we could say that these two discriminating factors are correlated between them because we need data that refer to a sufficiently long period of time to be able to test our strategies properly. So in order to stress the strategy, let's say, we need to test it on different market phases, so that in some way it will be ready for any future eventuality.
Then, finally, we considered the barriers to entry. Because, as we'll see later on, not all datafeeds are "obvious" in their use, but they do present barriers to entry and we'll see them together later on.
Okay, so let's start with the first provider, which is called eSignal. The quality of the data is definitely good. I've never used it myself, but it does seem that they are very reliable. The product offer is also very good because it goes from the traditional CME futures to exotic products such as Far East futures.
However, the cost is prohibitive. eSignal has three types of offers: Classic, Signature, and Elite. We systematic traders will need Elite, which is the most expensive and costs around $390 per month, plus some sort of Extended History Entitlement. Here, you can see it written here, in order to have data up to 2008.
The continuous contracts are featured, so eSignal would certainly be potentially usable, also because the barriers to entry of this provider are really very low. The only problem is the cost, which as you can see here, is very prohibitive and is between $200 and $400 per month for the purposes of us systematic traders.
Now let's move on to TradeStation. This is the data feed I use myself and I'm satisfied with it. The quality of the data is very good. I've never seen any interruptions except in very rare cases due to high volatility or special releases. When news or important economic data is released, the datafeed may crash or have bugs. However, I must say that having personally used TradeStation, these are very rare.
The product offer is excellent because it includes futures, Forex, stocks and even the crypto market, now in the last few weeks and months.
The cost is very good because well, it's basically free if you have an active account with TradeStation for all US futures. While a fee of 28$ per month is charged for Eurex data. So, if we want to trade on the European markets, like the Dax and the Bund for example, we'll have to pay $28 per month.
Are there continuous contracts? Yes, for almost all markets. There are some instruments, such as the Btp future, for which there are no continuous contracts. However the data exists so it's be possible to create a custom future, which means artificially pasting all the various maturities to create a continuous contract.
The data range is very good, it is very broad. For daily data we even have data from 2000, on the S&P for example. This means that you can also test strategies based on seasonal or monthly biases, because in this case we have a lot of data at our disposal and therefore we can also do this type of test. In terms of intraday data, we'll start with 2006 for the S&P and the US markets, and 2008 for the rest of the futures. Let's say in general from 2006-2008 for intraday data.
There are barriers to entry in this case. In fact, you’ll need to open an account with TradeStation, a brokerage account for futures trading with a minimum deposit that has recently been lowered to $500. So, with just $500 deposited into your account, you'll be able to use TradeStation data for free for all US futures and $28 per month for Eurex futures.
Let's now move on to IQFeed, which is another datafeed that I've personally used and found to be very good. The data quality is very, very good. They are famous precisely for the quality and reliability, as well as for the speed of reading and executing this data.
The offer is really very good, because it includes everything we systematic traders need. So futures and Forex.
The cost is high because unlike TradeStation, which costs around $30 per month if you have an account, you can spend between $100 and $200 per month with IQFeed, depending on the markets you decide to sign up for.
Here, too, there are continuous contracts. The range of historical data is very wide and goes back to 2008-2010 for all futures. These data are also being updated, but they are certainly to be considered as being good.
The barriers to entry? Well, there are none, because you only need to subscribe and download the IQFeed client and run it with MultiCharts open to be able to use the IQFeed datafeed. So, surely IQFeed is a very reliable provider indeed. It's just a pity because they charge quite a lot for the data they have, which is very good and reliable, but despite this IQFeed is definitely, for those who can afford it, a very good choice.
Now to the next datafeed called Rithmic. The quality of Rithmic's data is really good. It’s suffice to say that Rithmic is mostly used by discretionary traders who need to operate on tick charts. Therefore, not by minutes or seconds, but by ticks, so they use extremely fast charts for short-term trading, which for us systematic retail traders aren't so important because tick data won't be used. However, I wanted to mention this if perhaps you’re interested in examining this topic in more detail.
The data quality as mentioned is very good. Also, the offer is good on par with other providers and offers futures, stocks and crypto. The cost is very good for the data quality provided. It costs around 50-100$ per month.
There are continuous contracts, but here the range of historical data isn't as extensive as on other data feeds. We start from 2011 on the main futures, but as mentioned in comparison to IQFeed or TradeStation, we have less data, which could also influence our strategies and trading.
Barriers to entry: there are none, because even in this case all you have to do is download the Rithmic client, run it and then connect it to the platform, for example MultiCharts, to be able to use the data.
Finally, let's also evaluate CQG, which is a very well-known and popular provider. I've tried this provider myself in the past. The data quality is average. I've heard that in recent times this data has improved. The bugs I experienced in live mode should no longer occur. However, I'd like to mention the fact that every now and then CQG, at least when I was using it, occasionally had some problems. In case of a data release or a sudden movement, for example, the data feed would get stuck with obvious consequences on the strategies. Therefore, the choice of the data provider is really very important before going live with the trading systems. So, as I was saying, the data quality is average. The offer is very good because it includes futures, cryptos and even exotic exchanges.
The cost is good but it depends, as I wrote, on the broker chosen. Because, for example, I used to use AMP Futures and the bundle to get live data of all CME products was $33 per month, so it's very competitive.
Basically, there are no continuous contracts, but you can ask the broker if he’ll provide them. For example, I know that FXCM, which is an introducing broker of CQG, a partner of CQG, provides continuous contracts. For example, AMP Futures didn't provide them and, in this case, you have to create custom futures.
The range of historical data in this case is variable. Because basically it's three years for intraday data. However, if you want, there's another partner of AMP called Portara that provides historical data going back 35 years. But, as I said, only historical data, so beware because Portara can't be used live.
There are barriers to entry in this case. The subscription can be very expensive if you don't go through an introducing broker, so you may spend over $200 per month in order to have a quantity of varied instruments. However, to save money you'll need a broker account with one of their partners. And about this, you'll find all the necessary information on the CQG website.
And with that, this video is over. I really do hope that you found it useful.
If there's anyone among you who's interested in the world of systematic trading, I'd suggest you click on the link in the description of this video. From there you'll be able to watch a video of Andrea Unger or get our best-selling book covering only the shipping costs. Or you can even book a free call with a member of our team.
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Will see you soon in our next video, bye-bye!
We'll help you map out a plan to fix the problems in your trading and get you to the next level. Answer a few questions on our application and then choose a time that works for you.
BOOK YOUR FREE STRATEGY SESSION NOW >>Andrea Unger here and I help retail traders to improve their trading, scientifically. I went from being a cog in the machine in a multinational company to the only 4-Time World Trading Champion in a little more than 10 years.
I've been a professional trader since 2001 and in 2008 I became World Champion using just 4 automated trading systems.
In 2015 I founded Unger Academy, where I teach my method of developing effecting trading strategies: a scientific, replicable and universal method, based on numbers and statistics, not hunches, which led me and my students to become Champions again and again.
Now I'm here to help you learn how to develop your own strategies, autonomously. This channel will help you improve your trading, know the markets better, and apply the scientific method to financial markets.
Becoming a trader is harder than you think, but if you have passion, will, and sufficient capital, you'll learn how to code and develop effective strategies, manage risk, and diversify a portfolio of trading systems to greatly improve your chances of becoming successful.
