The Norgate Beta is closed to new beta testers. I would like to back test an algorithm on the S&P500 Historical constituents. I have downloaded Norgates listed and delisted stock data. Is there any way I can do this using another way until the Norgate NDU comes online? I notice Siblis Research has a downloadable list of historical constituents for a small fee. Would there be a way to link this up with AB?
If you can get the data for what stock was in the index when, plus when delisted stocks where delisted, then you can code something up that can access that data on the fly and use it to determine the make up of the index on each bar.
In the meantime, my understanding from @NorgateData is that the NDU is due for production release at the “end of the year”. So given it might only be 10 or so weeks away, it’s worth considering whether you want to put that effort in now.
Thank you very much for your reply. I notice that the Norgate NDU product release has been delayed already. In case there may be further delays, if it isn’t too much effort I wouldn’t mind coding something up as I am pretty anxious to test out some ideas. I have attached a sample of the historical composition file from Sibli Research. May I have some ideas please on what I would need to do to link this up with AB?
@dsitrader The link didn’t appear in your post.
You’ll need to upload it to a cloud storage platform like Dropbox or Google Drive and then paste the share link into your post.
Sorry, here is the link to the page to download the spreadsheet on the siblis research website:
Well, one approach would be to use the Aux1 or Aux2 fields in each symbol to flag when it is in the index (ie set it to 1 when it’s in the index and 0 when it’s not). You’ll first need to check your data update from your current data feed doesn’t use or overwrite that column.
It will be a bit of work to format your data and import it, but once its done you can just use that value as a filter.
For importation you’ll ideally need one row per symbol / date combination. You could do this using Excel and it’s Transpose feature to move the dates from columns to rows, and then splitting the file into multiple files, one per symbol, or replicating the rows in the file once per symbol. Alternatively you could write some Amibroker code that loops through the input file and creates a new output file that has symbol / date / index status columns for all symbols and dates.
Once you have that, you can import the data to the Aux1 or Aux2 fields using Hybrid Import.
Then in your strategy code, you can build an array that detects if the stock was in the index on a bar-by-bar basis.
IsInIndex = Aux1 == 1; Buy = IsInIndex AND ...
Thank you very much for the tips. You also have an awesome website btw.
this is really great! At least I have a backup now if NORGATE plays the delay game which they are currently terribly good at.
I’m also waiting for the new plugin and yes, they keep postponing. I kept on asking, but what good is it anyway. First it was Q3, now end of the year. What will it be at the end of the year?
The drawback is that you will have to spend at least a week to align Norgate’ data with Siblis. And even though Siblis Research data is a big help, it is still very out of date in symbol changes. For example yhoo which is now aaba, has not been updated in Siblis.
that is little encouraging… Thank you for your feedback on the user experience.
Has anyone been able to get two computers to save Norgate data to the same folder on Microsoft OneDrive? I was able to get my laptop to save Norgate to a file on OneDrive but when I use the same folder to save my desktop Norgate data I get problems with the updates.
I’ve been able to do that with Yahoo data. It’s convenient because then I’m working with the same watchlists etc with the two computers.
I also use OneDrive to save all my AFLs so that I’m working with the same codes no matter which computer I’m on. I looked at it, but I don’t think it’s possible to save the snippets to OneDrive.
I found that it doesn’t work to share the same OneDrive database folder between two computers for Norgate. What I did, was install Amibroker from each of the two computers, on the same folder in OneDrive. They can share the same Yahoo database on OneDrive. I kept the two Norgate data folders separate on the respective C drive for each computer. Now the updates for Norgate will work on each computer by keeping the two Norgate databases separate and out of the OneDrive folder.
This is a convenient setup for me, now both computers are looking at the same folder for AFLs, the same snippets, the same database and watchlist for Yahoo, the same indicators etc. The only thing different between the two computers is the Norgate database.
Now when I travel and have to use my laptop, I should be looking at almost all the same things as my desktop.
I get the following error message when I`m trying to use the script provided in Amibroker to update premium data database, I'm using amibroker version 6.25.0, anyone knows where the problem might be? Thank you
Also, after getting the data in to Amibroker somehow - the script still does not work, it seems that charts are showing weekends, there must be a option to hide weekends somewhere and its not in Database Settings, how do I set the data to filter weekends? Thank you
Sorry for flooding the forum with three consecutive messages but check the picture bellow, there are no weekend data in quote editor however they do appear on chart so it must be from Amibroker somewhere?
If you click on View in the menu and de-select Pad non-trading days, the weekend bars should dissapear.
Got it, I almost thought its a problem with Metastock Plugin I`ve only used Amibroker with intraday databases until now, thanks
With regards to the "Automation server can't create object", this is most likely due to something not right in your Windows registry with regards to the AmiBroker OLE definitions.
This can be resolved by right clicking on your AmiBroker icon and "Run as administrator", or running AmiBroker setup with "Full Install". A side effect of the "Full Install" is that it will remove any entries in the Tools menu (such as the Futures-PremiumData entry) so you may have to see the FAQ entry on this page:
It works, problem solved, thx