Picking data providers for specific strategy use cases

Data Sources
#1

Hi all, happy to finally be using Amibroker, after hearing so many great things about it :slight_smile:

I sent this question to support but didn't get very far. Hoping the great community can give some guidance!

My current trading systems scan & select from thousands of stocks based on liquidity, fundamentals, then I buy/sell based on signals from intraday price action, on shorter time frames. I also do something similar with crypto.

On my current algo trading platform, all the required datafeeds are baked into the cloud platform, so I dont have to think about sourcing it. With Amibroker, I have questions on getting this data.

My Questions:

  1. Which data providers would you recommend for backtesting and live trading with the following data:

A) Stocks 5-minute OHLCV data, with Ask+Bid, for all stocks and historical ETF constituents, 10-20 years back

B) Stocks Fundamental data (earnings, cashflow, debt-equity ratio) timestamped up to 10-20 years back

C) Crypto 5-minute OHLCV data, with Ask+Bid, for all major cryptocurrencies (ie: traded on central exchanges like coinbase, binance)

  1. On AmiBroker, do I need local hard drive space to download all the intraday data for these thousands of symbols (that my strategy might scan) beforehand?

Additional context note: I have seen the help page on data provider options (How to get quotes from various markets) , but unfortunately it seems that none of these will meet my needs.

I would love any guidance you all can give.

What would you use in these scenarios?

Thanks in advance for your help.

#2

1A: I have not heard of any data provider offering that.... I am curious if you will find a solution that goes back that many years.

Interactive Brokers does have historical data but it is not the cleanest and does not go 20 years back. E-Signal might have it... but again, I doubt it goes that far back...

1B: Again a tough one. Bloomberg comes to mind (they will also do a good job with 1A) or Reuters... some professional service....

1C: I have no idea unfortunatly...

2: Yes.

As for all your needs... you might see if there is a way to download all data from your current platform. Then keep it up to date with other data vendors. It's not easy to get 20 years history for what you are looking for.... I am looking forward for answers from others but I am afraid it might get very difficult...

What I would use in these scenarios ? I would realy question why I would need all this.... and if I do.... and I have it working on another platform allready, I do not think I would ever think about migrating to another platform. I would use AB for backtesting some idea's and when needed get the data for it, but what you are trying to do is a lot of work and will have you, for a big part, maintaining your database... That is something I do not like to do. Waste of my time :slight_smile:

#3

Thanks a lot for your reply, @Henri.

True, it seems that the data limitation will require me to use Amibroker differently than in my current workflow on quantconnect. That's fine. I will learn the platform and use it for its strengths.

The main reason I came here is because I learned that it might be possible to have dynamic / automated walk-forward optimization built into your amibroker strategies, so they adapt themselves over time.

I posted another thread that discusses this.