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Nov
7
comment Generate tick data from candlestick
@Freddy I went to respond to why you might want to create ticks from bar data, but it got too long, so I posted a full answer :-) (But, I do agree with what you've written here.)
Oct
3
comment Government bonds with negative yield
Regarding your second point, cash counts as an A1 asset too (assuming A1 == level 1 in the reference I found: "Level 1 assets are cash, certain government securities and other 0% risk-weighted assets under Basel II.")
Sep
4
comment ROC: difference between discrete and continuous?
Thanks, that is a very clear example.
Sep
4
comment ROC: difference between discrete and continuous?
BTW, re: PerformanceAnalytics, "most of the functions assume arithmetic returns". I now notice user508's comment at quant.stackexchange.com/a/1082/1587 says "PerformanceAnalytics defaults to log returns." :-(
Sep
4
comment ROC: difference between discrete and continuous?
Thanks Joshua. The article was also very useful in pointing out the terminology, which was where a lot of my confusion had come from! (discrete == simple == arithmetic) (continuous == log == geometric)
Aug
22
comment Is this a common variation of sharpe ratio?
Thanks; now I know what I'm looking for I see R also has functions for DownsideDeviation, SemiVariance, etc. I didn't ask in the other question as: a)it was off-topic; b) you'd already expressed your bias, and I wanted to hear arguments against ;-)
Aug
22
comment Drawdown calculation for strategies
@Freddy BTW, I started a question about your comment on Sharpe Ratio: quant.stackexchange.com/q/3986/1587
Aug
5
comment Why use a column database for tick/bar data?
@JL344 Re the "Row-oriented databases just aren't designed to handle a huge number of tables as effectively as a huge number of rows in one table." comment, it seems this is a good point. MySQL uses one file per table, so it should be fairly unlimited. However see (serverfault.com/q/83438/87322) where meta queries can become notably slow once you have thousands of tables, apparently. (This is a MySQL bug that is fixable, rather than a flaw with the row-oriented concept.)
Aug
5
comment Why use a column database for tick/bar data?
@JL344 One table per symbol of OHLCV data in a row-oriented DB is very different from the column-oriented DB. In the former they are are stored in row order; in the latter they are stored in column order. In the former appending a new row requires appending, say, 44 bytes, to a single file; in the later it requires appending 8-12 bytes to each of 5 separate disk files. That is their advantage; the gist of Q1 and Q2 is for this usage scenario do column-oriented DBs bring any other advantage?
Aug
5
comment Why use a column database for tick/bar data?
@JL344 You didn't mention the row-oriented approach of one table per symbol (see the UPDATE in my question). Is there a reason people are not using that approach?
Aug
3
comment Why use a column database for tick/bar data?
@Freddy Thanks for the update, sorry I only just saw it. It sounds like you are confusing NoSQL DBs (which, to me, means MongoDB, CouchDB, Cassandra, Redis, etc.) with column-oriented databases? Or do you regard them all as NoSQL solutions?
Jul
17
comment Are there any standard techniques for adding realistic synthetic microstructure noise to a price series?
@Serg Is this (using the difference between future and current) any better than using the difference between previous and current? I.e. your answer implies that if the market is about to get more volatile (bigger jumps between prices) then there is more noise in current. Is that an observable phenomena?
Jul
10
comment Why use a column database for tick/bar data?
@chrisaycock By "aggregate" do you mean things like turning ticks into 1m bars, 1m bars into hourly bars, etc.? And/or do you mean making moving averages and other more complicated indicators? And/or something else?
Jul
10
comment Why use a column database for tick/bar data?
Thanks @chrisaycock I had read one of those in my hunt yesterday, but the first link I'd missed and it was very informative (I'm still working through the linked 85-page PDF, but that looks useful too). I've added more information to my question to explain why I don't feel the linked-to answers fully answer my question.
Jul
9
comment Why use a column database for tick/bar data?
Another question: I usually think in terms of one table per symbol (instrument/contract). Reading between the lines of your answer, when you have a column-oriented DB do you keep all symbols in one table?
Jul
9
comment Why use a column database for tick/bar data?
Thanks for the reply Freddy. When you say column DBs are all about Key/Value, what is the key? When I think tick/bar data, the key is a datestamp, but that is a row-oriented concept, isn't it?
Apr
16
comment Free intra-day equity data source
Answering my own question, Google Finance keeps 15 days of intraday data, 3 years of EOD daily data (I couldn't find an authoritative source, but a few blogs gave these numbers).
Apr
15
comment Free intra-day equity data source
Thanks, that is a useful source. How far back does the minute data go back? I tried with one stock, requesting 720d, but it only went back 18 days (March 26th to April 13th). Is there a way to specify start and/or end date and make multiple requests to get it further back?
Apr
11
comment Free intra-day equity data source
@user508 Great tip, thanks! I've just been playing with the IBrokers package, and I was indeed able to get minute bars for a day a year ago (for a Japanese equity). It also worked for an expired Mini-Nikkei futures contract for one day a year ago. OTOH, I couldn't get minute data for even a week ago for EUR/USD.
Mar
7
comment Is there an open source alternative to Reuters Kondor+?
Incidentally, anyone have a reliable link to a page about Kondor+ ? Reuters website keeps giving me 404s, even when following links in their own search results!