Help executing an EOD system

Discussion in 'Automated Trading' started by abochman, Aug 5, 2007.

  1. abochman


    I've developed an automated EOD system and am having trouble executing it. Please help!

    The problem:
    The system requires me to download EOD quotes for about 4K stocks every night (around 6pm). Unfortunately, I'm not getting the day's closing prices for all 4K stocks every night - some stocks are "missing" the latest day's bar. This of course throws off the system which re-issues 1-day-old signals for that stock.

    Is anyone else trading EOD systems out there? What are the best practices?

    I'm currently getting the data from my broker (Fidelity) for free. If I pay for data (e.g. from QuotesPlus) will this problem pretty much go away, or does everybody live with these defects?

    If I download later in the day (say 8pm instead of 6pm) will the problem significantly diminish?

    If it's just a question of paying for the data, any recommendations on vendors? All I need is solid EOD, not intraday data. But I need it early in the evening, because my system takes a long time (overnight) to crunch the numbers.

    Thank you for your help!
  2. maxpi


    There are other free sources, Yahoo used to be free, maybe it still is, has some software for getting quotes, OpenTick is very inexpensive. Your broker is really slow in updating those daily values btw.
  3. rwk


    I trade using end-of-day data from Telechart. They issue delayed data throughout the day, so you should never be far off the final numbers. If you buy the data in bulk (24 months for the price of 18), it's pretty cheap.

    Reliability is probably more important than price.

  4. rosy2


    your system should look at actual dates and not the last price. you can also download from multiple sources where each source has its own priority
  5. I grab the NYSE and Nasdaq EOD data from for free every night. The data is available free at about 10pm Eastern, but you can get it at 6PM for $9.95 a month.
  6. GTG


    I don't know about fidelity, but when downloading eod data from yahoo you will frequently not have the EOD price for a lot of stocks by 6:00 PST or so. With yahoo, it gets better the later in the day you download the data.
  7. This thread is too are seriously considering executing trades from an EOD system based upon unreliable data? Free data is fine for doing some cursery searching, scanning, and creating your first few strategies, but if you ever plan on going live, you had better make sure your data is good. Garbage in Garbage out! Get better quality data, forward test your strategies to verify your results before going live!

    Telechart offers a great EOD deal for about $30 month, you can download the data into excel, or any other file that can read CSV formatted data, and it's reliable.

    Good luck!