Data Sources for Pairs Trading

Discussion in 'Data Sets and Feeds' started by jodistrict, Sep 22, 2011.

  1. I am currently using thinkorswim for pairs trading. To calculate their numbers for each interval, it appears that they take the High of the first stock minus the low of the second stock to get the high of the pair, and the low of the first stock minus the high of second stock to get the low for the pair.

    This results in a wildly inaccurate calculation for the high and low of the pair bar. For example, I did the following calculation on the one minute.

    Stock 1 H 59.74 L 59.48
    Stock 2: H 57.82 L 57.60

    Pair H 2:14 (59.74-57.60) L 1.66 (59.48 – 57.60)

    The difference is for the pair H – L = .48 cents.

    The actual movement during that minute was only 6 cents.
    Furthermore, if they had calculated by taking the high minus high and low minus low, that would have given a more accurate estimate of .04 cents.

    The upshot is that the High Low info of the candle is useless and you can only trade on the candle bodies.

    So my question is this – does anyone know a data provider that calculates the data for pairs correctly at least down to the minute level?
  2. Bob111


    data provider that calculate difference in pairs for you? wtf?
    is it so hard to DIY? in excel or whatever? besides..if you can do it yourself-you can do it anyway you want it. how about difference between % change from yesterday close? that would make more sense to me, than calculating difference between stock prices.
  3. rmorse

    rmorse ET Sponsor

    We offer Knight Direct. It will calculate the pair live. Excellent for pairs trading.

    Bob Morse