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Data Manager - The systematic trader's best friend


Permalink 11:17:32 am, by Dana Comolli Email , 926 words   English (US)
Categories: Data Management

Data Manager - The systematic trader's best friend

With version 2.2.1 of TheBooks, the Data Manager has come of age. This release has transformed the Data Manager from being simply an historic data repository and continuous contract builder into a research tool for futures traders which allows the combining and manipulation of data never seen before in commercial data management software.

TheBooks Data Manager Viewer

The 2.2.1 release of TheBooks adds the following features to the Data Manager:

  • The ability to define derived data sources. These are data streams which are based on other data streams (more about these later…)
  • The ability to overlay your actual trading history onto price charts. The running position and P&L can also be charted as part of this option. When trades are overlaid onto a continuous contract chart, the trade prices are adjusted to match how the continuous contract was adjusted.
  • Direct access to CSI data via their API. You no longer have to export data from Unfair Advantage to incorporate the data into TheBooks. You just tell TheBooks what computer in your network is running CSI and TheBooks is able to directly access the data.
  • The charting package has been completely re-written and is now a high-performance utility with the ability to quickly scroll through large data sets and zoom in and out allowing you see as much or a little detail as required. In addition, gaps in the data can be highlighted as can roll dates.
  • We have added the ability to easily switch between viewing any data set by simply clicking on the data set name within the viewer.
  • Export formats can be easily defined using a point and click interface. This includes the ability to translate market symbols from one symbol set to another.
  • For those traders that want tighter integration, TheBooks API (Application Programming Interface) has been extended to allow direct access to Data Manager data. This means your research platform and/or signal generator can read price series directly from TheBooks without the need to have the data exported to text files.

Even though DMAXX spent considerable effort on these enhancements, the features of the Data Manager that had set it apart from other data management applications have been retained and enhanced as well. These include:

  • The ability to use actual trading history as a roll rule when building continuous contracts.
  • The ability to define export sets which allows multiple data sources to be exported together to a single location in your network and to flag them to be automatically exported anytime any of the underlying data sources change.
  • Multiple price data vendor support. This includes CSI, CQG, and eSignal, in addition to user-defined text file imports. This means you can easily use data from the vendor(s) which make the most sense for your research and trading.
  • Flexible data download scheduling allows you to define as many scheduled downloads as you like. The data is downloaded in the background and is performed automatically. Continuous contracts and derived data sources are automatically updated and, as described above, any exports that are required are automatically performed as well.

Derived Data Sources
Derived Data Sources are an exciting new feature introduced in the 2.2.1 release of TheBooks. A Derived Data Source is a Data Source whose underlying data comes from one or more other Historic, Continuous Contract, or Derived Data sources combined using user-defined or pre-defined transformations. Once a Derived Data Source has been constructed, it can be used to like any historic data source or continuous contract.

There are four types of Derived Data Sources:

A Ratio data source is simply the ratio of two underlying data sources. The numerator bar is divided by the denominator bar. This can be used to provide a relative strength data stream between the two instruments or can be used to create FX cross rates from two data streams of FX rates.

An Index data source is the weighted sum of all the underlying data sources. For example, a user could define an Index-type derived data source as being a basket the major long-term interest rate futures contracts (US and foreign) and weight each as desired. The data stream would be the weighted sum of each of the underlying stream’s Open, High, Low, and Close. The trader could then track the index and Buy/Sell the basket of contracts as appropriate.

Term-Infused Spot
A Term-Infused Spot data source is a way to insert the term structure of continuous contract futures data into a data stream of daily spot prices. This provides a way to produce both outright and cross-rate historic price data that contains both a valid daily price range and term structure where currently the historic data does not exist. It uses an Historic Data Source which is an outright or cross-rate spot rate and a Continuous Contract.

A user-defined data source is a way for the user to apply his/her own transformations between two or more data sources. These transformations can include logical as well as numeric expressions, allowing to you perform operations such as splicing two data streams together at a specific date or comparing data streams from multiple sources and using the values from the stream that make the most sense on a given date within the data.

The Data Manager has evolved into a premier data management tool for the professional futures trader and researcher. These new features and those to come are designed to facilitate better research and better trading. It you are not using the data manager in your operation, now is the time to review its capabilities again.

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