Looking around for sources of intraday data to test CASTrader, I stumbled on OpenTick. I was quite surprised to find that they offer this data for free - 10 Terabytes worth. Plus, they offer an open source API. They also offer streaming quotes from a variety of sources. They plan to offer this data free forever, as part of developing other products. All you pay is the exchange fees, which is obviously where they get their data from. As this appeared to be the greatest thing since sliced, buttered, jammed bread that floats in the air rather than falls on the floor, I signed up on the spot. In a matter of a few minutes I downloaded and tweaked their sample application and had realtime, Level II tickstream of the QQQQ blasting data into a console window, all via VB.NET, without even making the top 10 CPU-consuming processes on a 90% idle machine.
CASTrader II doesn't really need this Ferrari of a system right now, and the Model T of a solution would do just fine, but I suppose if you're just running to the store for groceries, you may as well go in style. Plus, I needed the historical data. The Yahoo solution will still be useful as a backup/check in the event of outages, and even to provide the fundamental data at some point.
There was chatter on various quant message boards I found questioning the integrity of OpenTick's data along the "you get what you pay for line of thinking," but I'm not too worried, as CASTrader won't be dabbling in any high frequency finance with the outside world for awhile. Second, CASTrader has a built-in data filter in it's design - the arbitrageurs. CASTrader will have two price data streams - the internal dark market and the real world, with the arbitrageurs filtering between them. The internal dark market price stream will be pure, clean and error free, and and the arbitrageurs will protect it from the outside world by dealing with any noise. The great thing about a Complex Adaptive System is that most of this work is done free by the system - arbitrageurs that don't deal with noise well die out, while those who do thrive and evolve into better ones. I just have to make sure there is a diversity of arbitrageurs.
Thus, a clean, high frequency dataset can be produced for future backtesting of next generation of traders by simply recording the dark market price stream, and playing it back for them.
Hello, I'm desperately trying to get historical data. And opentick "temporarily" stopped accepting new users.
I'm wondering if you still have access to their system and if you could help me with historical data...
Thanks, Stepan.
Posted by: Stepan | June 27, 2008 at 08:58 AM
To Stephan: try http://www.tradingphysics.com
You can download historical or order realtime data there.
-- Art
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Posted by: Penny Stocks | February 08, 2010 at 11:59 PM
Your idea makes way to much sense. Plus, it doesn’t put any money in the pockets of special interest groups. Ooops, that’s why they won’t do it.
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