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baozi: where to download vwap data?

baozi: where to download vwap data?# Stock

n*n2010-02-05 08:02

1 楼

volume weighted average price.
y! finance not have.
ib have, but i've no idea how to download it. in addition, ib data often
dirty.

n*n2010-02-05 08:02

2 楼

how?

l*r2010-02-05 08:02

3 楼

You can calculate it in Excel. Fairly easy.

【在 n******n 的大作中提到】

: volume weighted average price.
: y! finance not have.
: ib have, but i've no idea how to download it. in addition, ib data often
: dirty.

n*n2010-02-05 08:02

4 楼

not easy at all if u have hundreds of tickers to trace everyday.
u need min data and it's still an approx.

【在 l*******r 的大作中提到】

: You can calculate it in Excel. Fairly easy.

l*r2010-02-05 08:02

5 楼

You know R, right? :)

【在 n******n 的大作中提到】

: not easy at all if u have hundreds of tickers to trace everyday.
: u need min data and it's still an approx.

n*n2010-02-05 08:02

6 楼

to make the whole flow work, u need:
1) automatically download 1-min data from y! fin for all tickers interested.
2) automatically calculate vwap for each.
3) create reports and add proper ui to access.
also, u need a 24-hr online server.
of course it's doable. but just not want to reinvent the wheel.
btw, y!f only keeps 1-day's 1-min data, i think. no way to retrieve historical one.

【在 l*******r 的大作中提到】

: You know R, right? :)

n*n2010-02-05 08:02

7 楼

in addition, u don't know if y!f data reliable, and calc based on 1-min
still have errors.

interested.
historical one.

【在 n******n 的大作中提到】

: to make the whole flow work, u need:
: 1) automatically download 1-min data from y! fin for all tickers interested.
: 2) automatically calculate vwap for each.
: 3) create reports and add proper ui to access.
: also, u need a 24-hr online server.
: of course it's doable. but just not want to reinvent the wheel.
: btw, y!f only keeps 1-day's 1-min data, i think. no way to retrieve historical one.

l*r2010-02-05 08:02

8 楼

Unfortunately, there is no free data stream at inutely level.
It is not that difficult - R has all kinds of components you need, and you
just need to spend a few hours to put them together. You can start from a
few ETFs, and scale up if you want. Once you finish the code, you can even
put them into the cloud so they can run 24/7.

interested.

【在 n******n 的大作中提到】

w*s2010-02-05 08:02

9 楼

hehe. I had ever shared this information, but got bashed.
you need tick level data (which is almost never free) and then do the
calculation and aggregation together.

【在 n******n 的大作中提到】

: not easy at all if u have hundreds of tickers to trace everyday.
: u need min data and it's still an approx.

l*r2010-02-05 08:02

10 楼

Why?

【在 w******s 的大作中提到】

: hehe. I had ever shared this information, but got bashed.
: you need tick level data (which is almost never free) and then do the
: calculation and aggregation together.

d*u2010-02-05 08:02

11 楼

要哪个，哪天的？我这都有。

【在 n******n 的大作中提到】

: volume weighted average price.
: y! finance not have.
: ib have, but i've no idea how to download it. in addition, ib data often
: dirty.

d*u2010-02-05 08:02

12 楼

没仔细看，以为你只要某天某个的。
有个IB讨论些程序的论坛，好像有free code.

【在 n******n 的大作中提到】

: volume weighted average price.
: y! finance not have.
: ib have, but i've no idea how to download it. in addition, ib data often
: dirty.

w*s2010-02-05 08:02

13 楼

why at which part? minuts data can't be accurate
say in the same minute, 10000 shares traded at 10, 100 shares traded at 11

【在 l*******r 的大作中提到】

: Why?

w*s2010-02-05 08:02

14 楼

you should be able to track it from IB or calculate based on IB's data.
the only limitation is the numbers fo symbols you could watch (50?), but
usually good enough for most people.

【在 d***u 的大作中提到】

: 没仔细看，以为你只要某天某个的。
: 有个IB讨论些程序的论坛，好像有free code.

l*r2010-02-05 08:02

15 楼

I mean why bashed?
Short/middle term swing trade do not need so accurate minuately level data,
and HF trade should not use data colleted from such "yeji" method at all.
So how come you were bashe?!

11

【在 w******s 的大作中提到】

: why at which part? minuts data can't be accurate
: say in the same minute, 10000 shares traded at 10, 100 shares traded at 11

n*n2010-02-05 08:02

16 楼

i think it's accurate enough for amateurs.

【在 w******s 的大作中提到】

: you should be able to track it from IB or calculate based on IB's data.
: the only limitation is the numbers fo symbols you could watch (50?), but
: usually good enough for most people.

w*s2010-02-05 08:02

17 楼

why you think vwap is very yeji?

,

【在 l*******r 的大作中提到】

: I mean why bashed?
: Short/middle term swing trade do not need so accurate minuately level data,
: and HF trade should not use data colleted from such "yeji" method at all.
: So how come you were bashe?!
:
: 11

n*n2010-02-05 08:02

18 楼

through tws's api? any more details are highly appreciated.

【在 w******s 的大作中提到】

: you should be able to track it from IB or calculate based on IB's data.
: the only limitation is the numbers fo symbols you could watch (50?), but
: usually good enough for most people.

w*s2010-02-05 08:02

19 楼

i can't remember details, but there is bigger limitation on retrieval
historical data on IB
something like 5 symbols per minute and 1 request per 10 seconds.. something
like that.
and for realtime, it is a bit better but still sucks

【在 n******n 的大作中提到】

: through tws's api? any more details are highly appreciated.

d*u2010-02-05 08:02

20 楼

ok. I used to use their data serive, so I know this pretty well.
TWS API details is here http://www.interactivebrokers.com/en/p.php?f=programInterface
Are you familiar with C or JAVA or VB? If you are, they have some sample
programs to show you how to download data. Should be few hours work to
change that program for you need to get data.
You may also check the user group http://finance.groups.yahoo.com/group/TWSAPI/. I think there are some free code to download.
there are some limitations for

【在 n******n 的大作中提到】

: through tws's api? any more details are highly appreciated.

n*n2010-02-05 08:02

21 楼

thx. what data service r u using now?

few
data

【在 d***u 的大作中提到】

: ok. I used to use their data serive, so I know this pretty well.
: TWS API details is here http://www.interactivebrokers.com/en/p.php?f=programInterface
: Are you familiar with C or JAVA or VB? If you are, they have some sample
: programs to show you how to download data. Should be few hours work to
: change that program for you need to get data.
: You may also check the user group http://finance.groups.yahoo.com/group/TWSAPI/. I think there are some free code to download.
: there are some limitations for

d*u2010-02-05 08:02

22 楼

i use 3 data services now.
1) prophet finance (paid) (up to half year intraday data - the data quality
is not very good, but my system already has an adapter to get their feed, so
I am lazy to change that)
2) Ameritrade (kind of free) (20 days intraday data, data feed is fastest,
this my default daily data feed)
3) IB (as back up) (1 year intraday data, but really slow if you have
hundreds of symbols to download). I also had their premimum service b4, but
found no data quality improvement, so I

【在 n******n 的大作中提到】

: thx. what data service r u using now?
:
: few
: data

n*n2010-02-05 08:02

23 楼

very nice. backup.

quality
so
but

【在 d***u 的大作中提到】

: i use 3 data services now.
: 1) prophet finance (paid) (up to half year intraday data - the data quality
: is not very good, but my system already has an adapter to get their feed, so
: I am lazy to change that)
: 2) Ameritrade (kind of free) (20 days intraday data, data feed is fastest,
: this my default daily data feed)
: 3) IB (as back up) (1 year intraday data, but really slow if you have
: hundreds of symbols to download). I also had their premimum service b4, but
: found no data quality improvement, so I

d*u2010-02-05 08:02

24 楼

Thx for BAOZI ( although i didn't expect this for exchanging info)
Intraday VWAP is useful to determin the best entry/exit
Here is a screen shot from my system showing VWAP...

【在 n******n 的大作中提到】

: very nice. backup.
:
: quality
: so
: but

n*n2010-02-05 08:02

25 楼

the ui is written by urself, or from any software?

【在 d***u 的大作中提到】

: Thx for BAOZI ( although i didn't expect this for exchanging info)
: Intraday VWAP is useful to determin the best entry/exit
: Here is a screen shot from my system showing VWAP...

d*u2010-02-05 08:02

26 楼

partially myself.

【在 n******n 的大作中提到】

: the ui is written by urself, or from any software?

n*n2010-02-05 08:02

27 楼

u mean trading benchmark?
http://alphatrends.blogspot.com/2007/11/institutional-trading-benchmark.html