[friva]

Hi everybody,

I am making a little investigation on how to best pull market data for stocks and index futures into Excel, with an eye on minimising costs of course.

I have a special interest on German and Italian stocks and futures (eg DAX, FTSE-MIB) but I care for shares/futures in general.

I want to be able do two things:
A) download up to 12 months of High-Low-Last prices on an excel worksheet.
B) have the corresponding live quote on another worksheet.

To clarify what I mean I enclose a zipped excel file.
Sheet "Data" and "Data1" give u an idea on how dowload A should look like.

On sheet "Data" u can see Last daily prices while on "Data1" u can see High-Low-Last prices for one minute time intervals.

Sheet "Last" gives u have an idea of how download B looks like (Last daily prices = live quotes).

I am fine updating the prices on the sheet by pressing a "refresh" button.

I gathered some info about vendors. See below, but double check with them if u need to be sure.

Pls share any suggestion or experience about downloading market data into excel.


Best
F

CHECKED:

*E-SIGNAL: can download quotes for italian and german stocks/futures for USD 249/month (including 20% tax and exchange fees). 12 months in advance yield some discount. It's USD 2779/year for 12 months (includes tax and exch fees). Billing is direct to customer, no way to get the service through a broker that then rebate to E-signal some of the comms.


*IQ-FEED: they do not offer market data from european exchanges. Ref USA they charge USD 63/month without exchange fees to download raw prices for up to 500 US securities (unclear if tax is iuncluded). To download into Excel one can use software DTNIQ that comes at an additional USD 40/month. Also sofware Qcollector and Quotecore can be used to download into excel. Links to the software vendor can be found on IQ-Feed website.


*KINETICK-NINJA: I understand one can NOT download into Excel. They offer european market data only if one funds a IB account.


NOT CHECKED YET

*CQG: I have heard it is very good stuff, but haven't checked yet with them. Do you know if I can download market data into Excel ? Any idea of the costs ?

*interactive brokers: can I download market data into Excel ? costs ?

*BARCHART.COM: download into Excel ? costs ?

*RANORDER: download into Excel ? costs ?

*TRADEBOLT: download into Excel ? costs ?


OTHERS ?

*DIRECT PURCHASE FROM THE EXCHANGE:
anybody managed to download market data into excel directly from the relevant exchanges ?

[Tams]

InteractiveBrokers:
you can download any data you subscribed.
there is a minimum monthly commission fee.
some data are free,
some are almost free (eg. $1/month)
but all are below normal exchange cost or eSignal fees.


ps. IB provides an excel worksheet for you to pull data from them. You don't need to do any coding.

[UrmaBlume]

Use tradestation 9.0, you can get a free trial, have an extensive database and even have a smart data object that connects to Excel.

Cheers

UB

[jpennybags]

I would like to pick up data (high, low, open, close) for a project that I have in work.

What I would be interested in: S&P 500 / 10min / back to 2004. I visited the CQG site and for what I want the price tag is $700 plus. I'm not far enough along in the project to justify that kind of cost.

If someone else was interested in the same data, possibly we could split the cost… it would hurt my sensibilities, but I could possibly justify half. If interested, send me a PM. I'm not tied to the CQG idea, but they have what I want… possibly we can collaborate research and find a better deal.

[SIUYA]

if you just need historical data that you are then going to then build on, there are free options around (they might not be accurate enough)
and IB does offer such abilities but unless they have really improved in this regard they are not great for mass downloading - too many throttling issues and I have had bad data from them. They are good for on going recording data daily.

Esignal - the advantage they have is that they offer a broad range of instruments, and you will need Qlink to help gather that data unless you want to do it manually. A lot will depend on how many instruments you want to download.

The thing you will be wanting to take into consideration as well are issue with the on going data collection.....
eg; are you going to be able to download and add to your data base every day....
what happens if out of say 200 stocks - 5 of them have dubious data, or are closed.
what happens if you go on holiday and cant download - how do you fill in the missing data

How manual is it - and how many instruments are you going to use. You dont want to spend hours downloading and checking data every day.
what happens when you have public holidays - how easy is it to adjust the data?
What is the range of instruments - futures, FX, equities?
if its for back testing you will need dividend and futures adjusted data otherwise you are wasting your time doing inaccurate backtests. If its just for charting its not as important maybe.

Personally I use Esignal as it gives me a charting package and enough other facilities that make it worth while to not double up on things....and it supplies the data. To be honest I think there are better charting systems out there, but it gives me enough for what I need now.

[friva]

hi TAMS, good to know about IB's competitive pricing for live data.

I understand they charge EUR 56/month for DAX stocks. This is not directly comparable to e-signal's (USD 246/month including taxes for all german stocks) but it seems quite low.

For live prices I understand IB charges EUR 25/month for Level 1 DAX future prices, EUR 15/month for level 1 FTSE-MIB futures prices.

Cooms are low on futures: DAX and FTSE-MIB futures (EUR 1.41-2.00 / leg) compared to local brokers (EUR 3-10/leg).

Comms for stock trading are relatively high (avrg 10bips compared to locals charging as low as EUR 5 per trade).

thank u

F

[friva]

hi Siuya,

thank u for ur comments and for the dividend adjustment issue.

Best

F

[sr100m]

QuoteLink

XLQ

don't bother reading the rest of this post - it is just some pointless words 'cos apparently my message without these words is too short to allow me to post it. there. that should be enough waffle to do it.