Does anyone know of any "Data Management"-type software? What I want is a standalone application that will integrate futures data from a range of EoD vendors into a single, consistent format (which may include mapping symbol names to a uniform standard and adjusting decimal places, etc, etc.), preferably combined with a flexible continuous contract builder and an automatic daily data downloader/updater. There must be something out there but I have yet to find it â any suggestions will be warmly welcomed. TIA!
The only thing that springs to mind is "Datajunction' but no guarantees it will do what you want - might be worth googling, but can't say more than that.
You are welcome to take a look at QuantServer and QuantDeveloper, which we believe has a pretty efficient data management engine, instrument database/mapping, tick db, real time data capture, connectivity with multiple data sources/providers, etc. www.smartquant.com/quantdeveloper.php QuantServer is the core data engine of QuantDeveloper and can be used as a standalone data management engine in your custom applications. You may need to write your own script/code that will merge multiple futures data series into continuous series according to a specific algorithm. Regards, Anton
I am still looking for something that does this - are there any C++ code guys here who would be interested in writing something for me as a paid job? Need daily append/update code and rollover code blocks, I have decimal formatting and file renaming code already. Does not seem to be anything commercially available, at least not that I can find - any suggestions would be most welcome.
Amibroker takes csv files and other formats.... inputs into a db... not sure its what you want though.
Worst case, you can create back adjusted continuous contracts in Excel. Create a rollover gap column (from looking at the difference in open prices in the individual contract data files). From that create a cumulative rollover gap column. From that use formulas to subtract the cumulative gap from the actual trading individual contract OHLC prices (which you would need to merge into the spreadsheet from the individual contract files). Time consuming if you need this for a large number of markets, but it should work. Possibly when you talk about "integrate futures data from a range of EoD vendors" that applies only to a limited number of markets. This doesn't help updating for trade signals which would then also need to be done by hand. But possibly since trading signals often does not require large quantities of past data you can use data from a single source for that, already adjusted without this continuous contract building needed. Data for backtesting doesn't need to be updated very often.