Data Vendor

Discussion in 'Data Sets and Feeds' started by BenjiSmith, Dec 19, 2005.

  1. I've written my own software for performing analysis and simulation with end-of-day stock market data. It's definitely a work in process, but I enjoy being able to code the tight inner-loops myself, and my software lets me develop some unique algorithms that I don't think are well-supported in many of the commercial backtesting platforms.

    Anyhow, I used to use Reuters datalink feeds for my EOD data, but I got frustrated with too many little annoyances, so I'd rather look for a new data vendor.

    Using Reuters, I had to download data in MetaStock format, using their antiquated DownLoader software. They didn't provide an API for downloading data or for converting data from MetaStock into something more portable (like ASCII). So every time I updated my data, I had to manually select all the securities in the DownLoader interface. When they finished downloading, I had to manually export them to ASCII files. And then I ran a perl script to parse the ASCII files and import them into a MySQL database, so that my application could read them.

    Pain. In. The. Ass.

    Also, rather than providing me with separate split-data (ticker, date, and ratio), their software automatically adjusted all of the historical EOD data to account for the split. Personally, I'd rather the historical data not be altered. I can keep track of splits and ratios myself if I want to.

    With the reuters datafeed, it was not an option. I could either ignore splits altogether or have my historical data automatically rewritten. Neither method was suitable for me.

    Finally, whenever a company goes out of business or a security is delisted from the major exchanges, its history is deleted from the Reuters historical data. Consequently, the reuters history is artificially cleansed of lots of data that would make a difference in my backtesting analysis.

    So I'm looking for a new vendor.

    Ideally, the new vendor should provide:

    1) ASCII downloads of EOD data each day. Or, in lieu of ASCII files, a Java API so that I can programmatically fetch data each day, without any manual conversion.

    2) All historical data should be left alone. No automatic adjustments for splits. No deletion of securities when the companies go belly-up or are delisted from the exchange.

    3) A separate file containing split data (just tickers, dates, and ratios), for all current and all historical securities.

    4) (BONUS) If they offer fundamentals, that would be great too. It'd be nice to have a few bits of data like revenue, earnings, market cap, assets, liabilities, etc.

    Does anyone know of a data vendor that might fit the bill?


  2. ccooper


  3. I'm basically having the same question as the person who started this thread. I called QP2, but they told me their data does not include delisted securities and does not allow to retrieve the unadjusted (for splits) data.