Forex & Equities Correlation Engine

Discussion in 'Trading' started by liquidmoney, Oct 21, 2008.

  1. Hello All....Can someone PLEASE, PLEASE help me? I'm trying to find a correlation engine that will analyze FX, Equities and Futures on an hourly, daily, weekly and monthly time frame (I would like to be able to choose). I’ve been looking at many different products over the last six weeks and I CAN’T find one product that does all vehicles. Does a product like this exist or do I need to create one? PLEASE, PLEASE HELP ME !!!!! I'm pulling my hair out
  2. Lucrum


    Liquid - Money, assuming US currency wouldn't that be something akin to diarrhea?

    Anyway as to your question most any decent charting software allows you to plot two or more instruments on the same chart in any time frame you want.
  3. Bob111


  4. Thanks so much for your response but I'm not only looking to perform a correlation study for one vs one, im also looking to compare one vs all and all vs all. I have found some products that do correlation studies using end of day but I also need intraday resolution.
  5. Bob111



    you can do whatever you want in it, using VBA(which is programming language and part of excel).
  6. You can just set up a var-covariance matrix in excel (normalize to joint variance to get correlation matrix).

    The only requirement/limitation is the data feed itself (the variables you want at the time resolution you want) and the sampling mechanism of excel (i.e. real time query). If you are trying to sample millions of data points simultaneously, you probably want a faster engine.
  7. Thanks again for the update...the challange I have is that if I use excel or oracle, I'll need to import the data which is not so much a big deal BUT most data that I can get via the web has a resolution of 60 sec at best and only goes back six months. Even with my existing real-time feed, it only goes back six months. I'm also having issues finding intraday resolution of FX at the 1 sec resolution level that has a history of 1yr - 3yrs. I thought that maybe there was a product that already existed.
  8. These guys have the data feed you are looking for, but it isn't going to be free.

    Not certain if they have all instruments at 1sec, but that is an ENORMOUS amount of data per resolution to process in real time.
    Good luck with excel.
  9. Bob111


    either tick(for last 7 days) or 1min for 1 year @ IQ Feed. agree about amount of data, but their feed is pretty fast. for average volume stocks it takes less than 20-30 min to download tick data for whole day for 1000 stocks. terrabyte hard drives are cheap.
  10. From 2002 to 2007 dollar plunged and equities rallied.

    From 2007 to 2008 dollar plunged and equities plunged.

    From mid 2008 until now dollar recovered, yet equities kept plunging.

    Understand my point?
    There's not a set-in-stone relationship between currencies and equities in longer time frames.
    Much less in shorter time frames.
    #10     Oct 21, 2008