From the August 01, 2011 issue of Futures Magazine • Subscribe!

The data game

There used to be a time when technical analysts believed that all data providers were created equal. There also was a time when they believed that all technical analysis software packages provided the same predefined indicators. That time has past.

Back in the day when there were very few data vendors from which to choose, technical analysts and traders simply accepted what was given to them in terms of market data and technical analysis tools. But as competition grew and computer power increased, the need for "clean" data as well as the ability to build signals, test systems and manipulate data became more important.

Today, speed of execution has been thrown into the mix, but the question remains, are technical analysts and traders getting the same price information or are certain data vendors more reliable than others?

A complete comparison study of data vendors and software creators is beyond the scope of this article. However, it still is important to know some of the issues facing analysts and traders so that they can consider their options carefully before spending their money on something that may not suit their needs.

The basis for all trading systems is the raw price data that makes up all past market activity. But the way data is delivered is different, as is the quality of that data. This is particularly true with futures data that needs to be tied together from a mosaic of different expiry months. This article will update you on the data game, as well as provide insight into how to create continuous data.

For technical analysts, professional traders and retail traders, the data-feed is the lifeblood of their technical analysis software, so choosing a high quality data provider is a good way to ensure that their investment in the software program has been money well spent.

When live data-feeds of futures data began to be readily available to the analyst and trader, it tended to be unreliable because the emphasis at the time was to deliver the product and worry about the quality later. The expression, "garbage in, garbage out" was sounded by many at the time, not just the fundamental traders. There wasn’t a lot of complaining from users because open outcry floor trading was where the action was and the trading edge remained there.

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