DATA SOURCES AND VENDORS

Today there are a great many sowces from which data may be acquired. Data may be purchased from value-added vendors, downloaded from any of several exchanges, and extracted from a wide variety of databases accessible over the Internet and on compact discs.

Value-added vendors, such as Tick Data and Pinnacle, whose data have been used extensively in this work, can supply the trader with relatively clean data in easy-to-use form. They also provide convenient update services and, at least in the case of Pinnacle, error corrections that are handled automatically by the downloading software, which makes the task of maintaining a reliable, up-to-date database very straightforward. Popular suppliers of end-of-day commodities data include Pinnacle Data Corporation (800-724-4903), Prophet Financial Systems (650-322-4183). Commodities Systems Incorporated (CSI, 800.274.4727), and Technical Tools (800-231-8005). Intraday historical data, which are needed for testing short time frame systems, may be purchased from Tick Data (SOO-822- 8425) and Genesis Financial Data Services (800-62 l-2628). Day traders should also look into Data Transmission Network (DTN, SOO-485-4000), Data Broadcasting Corporation (DBC, 800.367.4670), Bonneville Market Information (BMI, 800-532-3400), and FutureSource-Bridge (X00-621 -2628); these data distributors can provide the fast, real-time data feeds necessary for successful day trading. For additional information on data sources, consult Marder (1999). For a comparative review of end-of-day data, see Knight (1999).

Data need not always be acquired from a commercial vendor. Sometimes it can be obtained directly from the originator. For instance, various exchanges occasionally furnish data directly to the public. Options data can currently be downloaded over the Internet from the Chicago Board of Trade (CBOT). When a new contract is introduced and the exchange wants to encourage traders, it will often release a kit containing data and other information of interest. Sometimes this is the only way to acquire certain kinds of data cheaply and easily.

FiiaIly, a vast, mind-boggling array of databases may be accessed using an Internet web browser or ftp client. These days almost everything is on-line. For example, the Federal Reserve maintains files containing all kinds of economic time series and business cycle indicators. NASA is a great source for solar and astronomical data. Climate and geophysical data may be downloaded from the National Climatic Data Center (NCDC) and the National Geophysical Data Center (NGDC), respectively For the ardent net-surfer, there is an overwh&lming abundance of data in a staggering variety of formats. Therein, however, lies another problem: A certain level of skill is required in the art of the search, as is perhaps some basic programming or scripting experience, as well as the time and effort to find, tidy up, and reformat the data. Since “time is money,” it is generally best to rely on a reputable, value-added data vendor for basic pricing data, and to employ the Internet and other sources for data that is more specialized or difficult to acquire.

Additional sources of data also include databases available through libraries and on compact discs. ProQuest and other periodical databases offer full text retrieval capabilities and can frequently be found at the public library. Bring a floppy disk along and copy any data of interest. Finally, do not forget newspapers such as Investor’s Business Daily, Barron’s, and the Wall Street Journal; these can be excellent sources for certain kinds of information and are available on microfilm from many libraries.

In general, it is best to maintain data in a standard text-based (ASCII) format. Such a format has the virtue of being simple, portable across most operating systems and hardware platforms, and easily read by all types of software, from text editors to charting packages.