有用TradeStation美國卷商版的嗎?

JimmyHK

有用TradeStation美國卷商版的嗎?想知道SP和ES歷史數據最遠提供到幾時的,網上看他們的期貨分鐘圖數據最遠去到1982年的,不知道是否包括SP的分鐘圖數據?

http://help.tradestation.com/09_ ... historical_data.htm

Cass

似乎以下網頁提供了很便利的方式，可以參考:
https://blog.of-g.com/2018/09/13/the-importance-of-custom-futures-symbols-at-index-rollover/

http://help.tradestation.com/09_01/tradestationhelp/symbology/custom_continous_futures_symbology.htm

https://emini-watch.com/emini-trading/emini-futures/

根據上面資料，我建立畫面資料如下
TS 提供客製化代碼
TS現在預設以最後交易日前7天，作為切換。如果我們想用6天前在切換，就指定代號為@ES=106XC
同樣如果要四天前切換，就用@ES=104XC
這應該就是你要的

Cass

我只能見到最遠2001/8/26

JimmyHK

Cass 發表於 20-8-28 16:38
我只能見到最遠2001/8/26

是不是要付費買才能用到1982年的data?

JimmyHK

看過TradeStation網頁,較長期的data是要自己下載的,你試試看可否下載到1982的ES分鐘圖data?如可以可否分享?因為我需要較長的週期做研究,謝謝!

Cass

我不知道哪裡可以下載?如果有web link或是說明，請告訴我，我可以找時間試試看。

JimmyHK

你在我上邊貼的Link找找?再不然問問TS客服都可以的.

Cass

我查了TradeStation官方論壇，我沒找到有人有下載過1980年代。
PiTrading網站的付費資料 ES 1 minutes資料最遠也只到 1998/07/01。
關於在TS，我可能幫不上忙，抱歉。
你可以在以下網址找到付費資料 從1998年
'pitrading.com/historical-market-data.htm'

JimmyHK

Cass 發表於 20-9-25 13:11
我查了TradeStation官方論壇，我沒找到有人有下載過1980年代。
PiTrading網站的付費資料 ES 1 minutes資料 ...

About Extended Historical Data        In TradeStation, an extensive online database provides historical market  data that can be used for back-testing and analysis over extended time  periods. Daily and all intraday data for up to a year back from the current  date is available on-demand for use in charts and other data windows. Additional  data for previous time periods is offered for download at a later time  based on user selected criteria (see About  Download Scheduler).
        

• Stocks and Indexes  - Tick-by-tick data is available for thirty days back, one-minute  data for ten years back, and daily data for more than 30 years back.
• Futures -  Tick-by-tick data for thirty days back, one-minute data since January  1982, pit data for individual contracts (delivery month/year) since  1970, and back-adjusted continuous contracts since the 1960s.
• Options -  Data availability for options contracts is similar to that for futures  but will vary based on how heavily the contract is traded.
  

        Futures and options contracts with expirations well into the future  may have little or no data due to light trading. For example, as of November  15, 2001, the December 2001 E-Mini S&P 500 might average over 30,000  trades a day. However, a contract that expires further out in the future,  such as the December 2003 E-Mini S&P 500 will most likely be far less  actively traded.

JimmyHK

Scheduling a Download

In order to schedule a download, your data request must exceed the short-term data allowance that TradeStation recognizes. In this example, it shows that a MSFT chart for 1 year back of tick data and a DELL chart for 2 years back of tick data is displayed on the Chart Analysis window.   

1.   Open a chart displaying the desired symbol to schedule a download.
2.   From the Menu Bar, click Format > Symbol. The Format Symbol dialog is displayed.
3.   Under Interval Settings and Range sections, make the appropriate changes to back date the tick data.
4.   Click OK. The Download Scheduler Request dialog displays all long range tick data that has been entered.
5.   Place a check mark next to the symbol(s) to schedule a download.
        Select All - Selects all symbols in the list.
        Clear All - Clears all the symbols in the list.

    If you do not want to schedule a download for a particular symbol, clear the check mark from the corresponding check box and it will not be included in the download request.
6.    Select when time frame of downloading the data, As soon as possible or During off-peak hours.
        As soon as possible - Attempts to download data as soon as bandwidth is available throughout the day.
7.        During off-peak hours - Schedules data downloading outside of the normal session hours.

    Click OK when finished.

JimmyHK

有沒有根據網站的指示試過下載?

JimmyHK

Cass 發表於 20-9-25 13:11
我查了TradeStation官方論壇，我沒找到有人有下載過1980年代。
PiTrading網站的付費資料 ES 1 minutes資料 ...

tickdata.com網站的付費資料我問過本來打算買的,但他們設有最低消費要再買其他data才夠,我覺得不合理和門檻太高沒有買.

ES(小期)是1997年開始有的,之前的是SP(大期)從1982年4月開始有data(可以自己加上去ES作為一種資料補充):

Currency Futures

Symbol

Trade Data Start

Quote Data Start

End Date

Exchange

Time Zone

S&P 500 E-Mini Futures

ES

Sep-97

Jan-10

Present

CME GROUP

America – Chicago

S&P 500 Futures

SP

Apr-82

Jan-10

Present

CME GROUP

America – Chicago

https://www.tickdata.com/histori ... lable-futures-data/

Cass

你提到的download schedule我有試過，你上面的說明是TS 9.5版，我在TS10找到這個功能，執行後，還是無法下載。經過一段等待時間後，command 會被reject。

JimmyHK

Cass 發表於 20-9-26 11:33
你提到的download schedule我有試過，你上面的說明是TS 9.5版，我在TS10找到這個功能，執行後，還是無法下 ...

本來我打算遲些轉用TS來做美期的,如果無法下載歷史資料的話看來要打消這個念頭了.

JimmyHK

有沒有問過客服不能下載的原因?

Cass

我沒有問過客服。TS有很多已知功能上的缺點，一直代代相傳，就是到了TS10也還有TS8、TS9就出現過的問題。例如(1)Optimization Report，有時常常report資料欄位就不見，官網論壇從2011~2020年了，都有人反應，我也常常遇到這個問題，只能照網上偏方來解。(2)又如我常用TS來驗證台指期，而台指期資料作為3rd party ，import到TS，也是常常突然一天就打不開了。這二個陳年問題，幾乎是每個月都會遇到。(1)還好把 Desktop刪掉，重開新的即可。(2)就很麻煩，我也無解，有時候把cache目錄刪除即可，有時怎麼做也不行。
但是扣除此二點，還是有很多優點，而不得不忍受它吧。