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jokerjoe has contributed to 11 posts out of 21191 total posts
(0.05%) in 4,693 days (0.00 posts per day).
20 Most recent posts:
Just use SPTrader as a data source and use something else for whatever you need to calculate.
If you don't need accurate tick data then you could also Interactive Brokers for data. Edited by jokerjoe on Mar 16, 2015 at 11:51 PM
Many of the local brokers use SPTrader. I'm not sure if DDE/API is available with all the brokers though. Search for "SPTrader" and many brokers come up.
http://www.sharppoint.com.hk/algo.php?lang=1&mod=dde
You could supplement it with historical data from the exchange. Data only available after trading so you'd have to make sure not to miss any live data during trading hours.
https://www.hkex.com.hk/eng/ods/English/asp/prdList.asp
Their main competitor has such data.
Also I gather that various HK brokers can provide real-time data via DDE but not historical. Haven't tried them myself. Edited by jokerjoe on Mar 16, 2015 at 10:14 PM
Any change on your position on adding HKFE futures?
Wow, this seems like a major problem if data is treated in an inconsistent manner. Is this still the case?
Briefly tested it, managed to somewhat get it working. Needed to load the xts package first. HIT, HTT and HDX worked. However IQFeed connection manager would quit whenever it completed or there was an error which is a bit of a pain in the ass.
Will hopefully eventually get round to investigating it further. If you fix any bugs or find ways to improve it please share on github. I see it's already been forked once with some bugs fixed.
Thanks, though I suppose I'd have to pay the extra developer fee?
Apparently there's plans for connectivity between matlab and IQFeed. I'll like to request similar tools for R. I'd hazard that R is just as popular if not more so these days.
For each futures contract the cumulative open interest across all expiries, as well as the cumulative volume, would be useful. Could be phrased something like (Root Symbol).COI. Also the Commitment of Traders figures would be useful.
Currently the best way of getting such historical data is through other data services, would be best to have it all under one roof as it were. Could probably even charge a small premium, ideally less than the others.
Are there any plans to add Hang Seng (HSI) futures?
Hi, is there any update regarding continuous contracts rolling with volume/OI?
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