CSI or Reuters Datalink for EOD Data


#1

When I had more free time from work I was using IQFeed for historical and realtime data. Got pretty busy with work for awhile and just couldn't justify the cost for how I was using it, great data feed though.

Went back to using yahoo but I just never trust any data, especially with TSX tickers, holes in the data, missing adjustments, half adjusted (open adjusted but not closed). More headaches then its worth dealing with.

So from my knowledge yahoo gets its data from CSI. Anyone have issues with CSI data? I'm assuming most these issues are from the way yahoo manages their database given from CSI.

Reuters Datalink looks like the better deal as I'd get all North American for 29.99 while CSI list foreign stocks (TSX) as 27.99 and their U.S would be another 27.99.

CSI caught my attention because they have a "how to" import easily into Amibroker. Looks like they've developed in their Unfair Advantage Downloader a direct way to update Amibroker database.

Reuters Datalink I can't really seem to find any guides on their website on what your actually receiving and how to use their product. I know Amibroker has a metastock plugin but don't think reuters datalink is exactly like Metastock?

If anyone uses Reuters Datalink if you wouldn't mind explaining how to get a database started and what the daily procedure is to update the data is.

Any comments on the data quality of either would be greatly appreciated.


#2

I wanted good real time data to make end of day trades from a large watchlist for the Canadian markets. That didn't work well with delayed data from Yahoo. Interactive Brokers data worked fine for a single equity with real time data but it was troublesome when I tried it with a large watchlist. IQfeed was expensive at over $100 a month, but I think it's worth it for me for good real time data to trade at the end of the day. I couldn't get IQfeed to give me more than a couple of years of historical data. I'm not sure if that was their limit or something wasn't set right.

Norgate Data is ideal for good long term daily data for backtesting, however they don't have Canadian data yet. They claim to be working on getting Canadian data, hopefully that will happen sometime soon. Perhaps our market is too small for them to make a profit, but they manage to do it for Australian data. I would be happy even if they just covered the largest 300 Canadian stocks. It's too hard anyways to make money with small Canadian stocks, the large spreads make them too expensive to trade. Perhaps if you write to @NorgateData as well that might help to persuade them to include Canadian stocks.


#3

I too am looking for a reliable EOD data source for TSX tickers. I have been using Norgate’s data for the US markets for the last few years (complete with delisted symbols since 1985), and is great. Especially with their new NDU updater. However, their plans for supporting us in Canada with TSX tickers keep getting pushed out. I had been checking with them on this every few months for the last couple of years and they continue to say it keeps getting pushed out…..and in November they actually said I should sign up for CSI (or another vendor) while waiting for them to support the TSX data....

Like you I had been using Yahoo for TSX data…but never really trusting it (especially the last 6 months) … so I signed up for the Reuters Datalink service for North America a couple of months ago. Frankly I thought I would try them first before CSI because they are so much less expensive.

They have a downloading tool called “The Downloader” that you download to your PC to use for the daily updates. It is pretty clunky as it was built in 2007. I had a lot of trouble getting it set up right…. though that may have been more me that it (?). It takes 5-10 minutes at EOD to download the data for all ‘active’ North America tickers. The data is downloaded in MetaStock format.

From there you use the use the MetaStock plug into Amibroker to get the data into Amibroker. Again I had some trouble getting this set up properly to simply show the charts when you open Amibroker after you have downloaded the data…..but after setting it up a few times (over and over) I was finally able to get it to work right.

If you want to try DataLink they have a free 30 day trial, that you are able to cancel anytime in the first 30 days if the service is not for you, and they will not charge you. If you don’t cancel they will bill you the #240usd annual subscription fee at the end of the 30 days and then you will have another 12 months service...
BTW - after using DataLink for a couple of months I found myself forced cancel the service last week after I discovered some what I thought were serious data integrity issues, which had given me some wrong trade signals. When I asked them to check the data on a particular TSX ticker they said they “checked the chart on the exchange and the Reuters Datalink chart looks identical to the exchange chart”. When I replied back to them saying their data did not agree with any of my other TSX data sources (IB, Questrade, & Yahoo :wink: telling them “XSP.TO did NOT hit an all time high of $32.57 on 12/19/17” as their data was showing. It’s all time high was then that day (1/8/18) at $31.18, and it had not gapped down 5.4% after close on 12/27/17…

They then replied saying:

“We never compare to other sources except the exchange and we match the exchange.”…..then after I sent them another email asking them to look closer at this issue they replied saying “I re-examined all the data and we still match the exchange exactly. What would you have us match to? We can only match to the exchange. It is the only reliable source. The other sources are not the final word. Only the exchange is the authority. Also, this was a problem several days ago, but has since been fixed by the Datalink engineer as I just found out it was reported a few days ago by a different customer that I did not know about until just today. Try refreshing the data if online data, but if local data, delete the data and redownload.”

I am a mechanical system trader and their inaccurate data caused me to take incorrect signals, which cost me significant dollars when the trade did not go as planned.

MetaStock-DataLink would not explain the root cause, or tell me there were any corrective actions taken to give us reassurance this error would not happen again. Nor could they tell that there is a mechanism in place to notify their subscribers that they have discovered a data integrity issue and that for those of us who use (were using) their downloaded data that we MUST delete all of out local data and redownload to get the correct charts.

So now I am trying CSI data’s 21-day trial before signing up for their TSX ticker service. I signed up just a few days ago. For their trial they only give you access to 10 NASDAQ symbols (no TSX data) and a few futures. Their EZ Downloader tool, and Unfair Advantage software is much sweeter than the DataLink tools. Installation was a breeze. I just with they would give us access to TSX symbols for the trial to see the TSX data.

From what I see the only way to see their “active” TSX data is to pay them the $60usd non-refundable licensing Fee and the $28usd monthly and get the 5 years of active TSX data – to really test it.
Or cough up the full $300usd ($240usd subscription and the $60usd license fee) and get the 10 years of TSX data for active symbols…

Unfortunately I don’t see any option with them online for delisted symbols for either US or Non-US (TSX) stocks….
.
Anyone else have some any comments TSX EOD data sources and data quality? It would be greatly appreciated…..as I am still searching………….


#4

Thank you both for the responses. Seams I'm leaning towards CSI Data and Norgate Premium Data.