HISTORICAL DATA BASE BASICS

Historical Data for most indexes, securities, commodities and derivatives can be obtained from several historical data base source providers for free or for a fee.  The most critical issue is data cleanliness, meaning that the data has to perfectly mimmic the true market history with regards to the date, time,  volume, pricing and split adjustments.  Data can be provided in two basic forms, either as raw tick data or as OCLH, date, time and volume data.  

TICK DATA provides the smallest time sequenced single unit information for every single transaction of any security, which is composed of the date, the time, the volume and the price.   Any bar of any timeframe can be constructed with tick data.  Tick date is used by trading platforms and professional investors.

OHCL DATA is the tick data classified in specific time slots or timeframes to make seconds, minutes, dayly weekly, monthly or yearly bars.  The open will be the first tick, the high the highest high, the low the lowest low and the close the last tick of the selected timeframe.  OHCL data is used for more simpler approaches to investing.    

MINDBOOST complexity or simplicity can both lead to a successful trading carreer

HOW A BAR IS MADE FROM TICK DATA

In the example below 10 tick data for a 1 minute interval are provided to construct a 1 minute bar (real Tick data bases have millions of data items).  The Open (O), High (H), Low (L) and Close (C) are extracted from the Tick Data in any desired timeframe.  The Tick Volume, the number of Ticks and the Average Volume per price point can provide valuable market support and resistance levels information.

TICK DATA

TIME
PRICE
VOLUME
15:00:01
111.50
2.000
15:00:07
110.75
2.250
15:00:11
110.00
1.500
15:00:18
111.50
6.000
15:00:25
112.00
7.500
15:00:29
111.75
2.500
15:00:34
112.50
9.000
15:00:41
113.00
6.500
15:00:49
114.00
8.000
15:00:55
113.25
2.250
SS0002 TICK OHCL BAR DATA

OHCL DATA

OHCL INFO
OCHL DATA
Timeframe
1 minute
Time Open
15:00:00
Time Close
15:00:59
Open
110.25
High
113.75
Low
110.25
Close
113.25
Volume
48.500
# of Trades
10
Avg Vol/Tick
4.850

DATA BASE SOURCES

There are many historical date base providers and trading platforms offering Tick or OHLC data for download and analysis.  Yahoo Finance offers OHCL data that can be downloaded for statistical  and probability studies.  Tradestation offers an extremely sophisticated trading platforms that allows to build personal strategies and perform backtesting for optimal performance among many other amazing features for the professinal trader.

DOWNLOADING DATA FROM YAHOO FINANCE

Yahoo Finance offer good quality basic free OHCLV data for almost any security.  The data base can be easily downloaded using Python and a simple programming code as shown in the image.

The program simply identifies the security, the date range and the time interval.  The resulting table with the data is shown in the image as well.

If you require asistance with downloading any type of data please contact us at masterflea@fleacircustrader.com

SS0002 YOHOO FINANCE DATA DOWNLOAD

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